<SEC-DOCUMENT>0000891092-12-000143.txt : 20120105
<SEC-HEADER>0000891092-12-000143.hdr.sgml : 20120105
<ACCEPTANCE-DATETIME>20120105103911
ACCESSION NUMBER:		0000891092-12-000143
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		8
CONFORMED PERIOD OF REPORT:	20111031
FILED AS OF DATE:		20120105
DATE AS OF CHANGE:		20120105
EFFECTIVENESS DATE:		20120105

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21566
		FILM NUMBER:		12509588

	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-CSR
<SEQUENCE>1
<FILENAME>e46772ncsr.htm
<DESCRIPTION>ANNUAL REPORT
<TEXT>
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<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">UNITED
STATES</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Washington,
D.C. 20549</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>FORM
N-CSR</B></FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 77.75pt; text-align: center; text-indent: -77.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>CERTIFIED
SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3pc; text-indent: -3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Investment
Company Act file number 811-21566</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3pc; text-indent: -3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Name
of Fund: BlackRock Floating Rate Income Trust (BGT)</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3pc; text-indent: -3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Fund
Address: 100 Bellevue Parkway, Wilmington, DE 19809</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3pc; text-indent: -3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Name
and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate Income Trust, 55 East 52nd
Street, New York, NY 10055</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3pc; text-indent: -3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Registrant&rsquo;s
telephone number, including area code: (800) 882-0052, Option 4</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3pc; text-indent: -3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date
of fiscal year end: 10/31/2011</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3pc; text-indent: -3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date
of reporting period: 10/31/2011</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
1 &ndash; Report to Stockholders</FONT></P>

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    <TD STYLE="text-align: left"><IMG SRC="blackrocklogo.jpg" ALT=""></TD>
    <TD><P STYLE="text-align: right"><B><FONT color=#231f20>October 31, 2011</FONT></B></P></TD></TR>
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<P STYLE="text-align: left; margin-top: 72pt; font: 18pt Times New Roman, Times, Serif; background-color: rgb(57,76,135); color: White; padding-top: 12pt; padding-bottom: 12pt; padding-left: 12pt">Annual Report</P>
<P style="TEXT-ALIGN: left"><FONT STYLE="font-family: Wingdings 3">&#125;</FONT>&nbsp;<FONT color=#231f20>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT><BR>
<BR>
<FONT STYLE="font-family: Wingdings 3">&#125;</FONT>&nbsp;<FONT color=#231f20>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT><BR>
<BR>
<FONT STYLE="font-family: Wingdings 3">&#125;</FONT>&nbsp;<FONT color=#231f20>BlackRock Credit Allocation Income Trust III (BPP)</FONT><BR>
<BR>
<FONT STYLE="font-family: Wingdings 3">&#125;</FONT>&nbsp;<FONT color=#231f20>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT><BR>
<BR>
<FONT STYLE="font-family: Wingdings 3">&#125;</FONT>&nbsp;<FONT color=#231f20>BlackRock Floating Rate Income Trust (BGT)</FONT></P>
<P STYLE="text-align: center; border: Black 1pt solid; font: 10pt Times New Roman, Times, Serif; margin-right: 50%"><FONT STYLE="color: #231f20"><B>Not FDIC Insured &#149; No Bank Guarantee &#149; May Lose Value</B></FONT></P>

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<BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Table of Contents</FONT></P>
<P STYLE="text-align: right; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239)"><B><FONT color=#394c87>Page</FONT></B></P>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="73%"></TD>
     <TD width="26%"></TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_001">Dear Shareholder</A></TD>
     <TD align=right>3</TD></TR>
<TR vAlign=bottom>
     <TD align=left><B>Annual Report:</B></TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_002">Fund Summaries</A></TD>
     <TD align=right>4</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_003">The Benefits and Risks of Leveraging</A></TD>
     <TD align=right>14</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_004">Derivative Financial Instruments</A></TD>
     <TD align=right>15</TD></TR>
<TR vAlign=bottom>
     <TD align=left>Financial Statements:</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left><A HREF="#a_005">Schedules of Investments</A></TD>
     <TD align=right>16</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left><A HREF="#a_006">Statements of Assets and Liabilities</A></TD>
     <TD align=right>55</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left><A HREF="#a_007">Statements of Operations</A></TD>
     <TD align=right>56</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left><A HREF="#a_008">Statements of Changes in Net Assets</A></TD>
     <TD align=right>57</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left><A HREF="#a_009">Statements of Cash Flows</A></TD>
     <TD align=right>60</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_010">Financial Highlights</A></TD>
     <TD align=right>61</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_011">Notes to Financial Statements</A></TD>
     <TD align=right>66</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_012">Report of Independent Registered Public Accounting Firm</A></TD>
     <TD align=right>78</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_013">Important Tax Information</A></TD>
     <TD align=right>78</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_014">Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements</A></TD>
     <TD align=right>79</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_015">Automatic Dividend Reinvestment Plans</A></TD>
     <TD align=right>83</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_016">Officers and Directors</A></TD>
     <TD align=right>84</TD></TR>
<TR vAlign=bottom>
     <TD align=left><A HREF="#a_017">Additional Information</A></TD>
     <TD align=right>87</TD></TR></TABLE><BR>


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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_001"></A><FONT color=#394c87>Dear Shareholder</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20">One year ago, the global economy appeared to solidly be in recovery
mode and investors were optimistic as the US Federal Reserve launched its second round of quantitative easing. Stock markets
rallied despite ongoing sovereign debt problems in Europe and inflationary pressures looming over emerging markets. Fixed
income markets, however, saw yields move sharply upward (pushing prices down), especially on the long end of the historically
steep yield curve. While high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth
quarter of 2010. The tax-exempt municipal market faced additional headwinds as it became evident that the Build America Bond
program would not be extended and municipal finance troubles burgeoned.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Early 2011 saw spikes of volatility as political turmoil swept across the Middle East/North Africa region and prices of oil and other commodities soared. Natural disasters in Japan disrupted industrial supply chains and concerns mounted regarding US debt and deficit issues. Nevertheless, equities generally performed well early in the year as investors chose to focus on the continuing stream of strong corporate earnings and positive economic data. Credit markets were surprisingly resilient in this environment and yields regained relative stability in 2011. The tax-exempt market saw relief from its headwinds and steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced higher-quality assets as investors increased their risk tolerance.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>However, the environment changed dramatically in the middle of the second quarter. Markets dropped sharply in May when fears mounted over the possibility of Greece defaulting on its debt, rekindling fears about the broader sovereign debt crisis. Concurrently, economic data signaled that the recovery had slowed in the United States and other developed nations. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5th, Standard &amp; Poor&#146;s downgraded the US government&#146;s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default. Financial problems intensified in Italy and Spain and both countries faced credit rating downgrades. Debt worries spread to the core European nations of France and Germany, and the entire euro-zone banking system came under intense pressure. Late in the summer, economic data out of the United States and Europe grew increasingly bleak while China and other emerging economies began to show signs of slowing growth. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries, gold and the Swiss franc skyrocketed.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>October brought enough positive economic data to assuage fears of a double-dip recession in the United States and corporate earnings continued to be strong. Additionally, European policymakers demonstrated an increased willingness to unite in their struggle to resolve the region&#146;s debt and banking crisis. These encouraging developments brought many investors back from the sidelines and risk assets rallied through the month, albeit with large daily swings as investor reactions to news from Europe vacillated between faith and skepticism.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Overall, lower-risk investments including US Treasuries, municipal securities and investment grade credits posted gains for the 6- and 12-month periods ended October 31, 2011. Risk assets, including equities and high yield debt, broadly declined over the six months; however, US stocks and high yield bonds remained in positive territory on a 12-month basis. Continued low short-term interest rates kept yields on money market securities near their all-time lows. While markets remain volatile and uncertainties abound, BlackRock remains dedicated to finding opportunities and managing risk in this environment.</FONT></P>
<P STYLE="text-align: left; margin-bottom: 0pt">Sincerely,</P>

<P STYLE="text-align: left; margin-top: 0pt; margin-bottom: 0pt"><IMG SRC="kapito_sig.jpg" ALT=""></P>

<P STYLE="text-align: left; margin-top: 0pt"><B>Rob Kapito<br></B>President, BlackRock Advisors, LLC</P>


</DIV><DIV style="margin-left: 2%; width: 38%; float: right;">


<IMG src="a46700x3x1.jpg" border=0>
<BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><I>&#147;While markets remain volatile and uncertainties abound, BlackRock
remains dedicated to finding opportunities and managing risk in this environment.&#148;</I></FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#231f20>Rob Kapito</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>President, BlackRock Advisors, LLC</FONT></P>
<P STYLE="text-align: left; border-top: rgb(57,76,165) 2pt solid; padding-top: 12pt"><B><FONT color=#231f20>Total Returns as of October 31, 2011</FONT></B></P>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 54%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 7%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center; background-color: #231f20">&nbsp;</TD>
     <TD ALIGN="LEFT" BGCOLOR="#231f20" COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#ffffff>6-month</FONT></TD>
     <TD ALIGN="LEFT" BGCOLOR="#231f20" COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#ffffff>12-month</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>US large cap equities</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>(7.11</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>)%</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>8.09</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>(S&amp;P 500</FONT><SUP><FONT color=#231f20>&#174; </FONT></SUP><FONT color=#231f20>Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>US small cap equities</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>(13.76</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>6.71</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>(Russell 2000</FONT><SUP><FONT color=#231f20>&#174; </FONT></SUP><FONT color=#231f20>Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>International equities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(14.90</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(4.08</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>(MSCI Europe, Australasia,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>Far East Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>Emerging market</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>(15.91</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>(7.72</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>equities (MSCI Emerging</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>Markets Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>3-month Treasury</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>0.04</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>0.13</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>bill (BofA Merrill Lynch</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-Month Treasury</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>Bill Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Treasury securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12.11</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7.79</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>(BofA Merrill Lynch 10-</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>Year US Treasury Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>US investment grade</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>4.98</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>5.00</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>bonds (Barclays</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capital US Aggregate</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>Bond Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>Tax-exempt municipal</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>5.56</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>3.78</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>bonds (Barclays Capital</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt"><FONT color=#231f20>Municipal Bond Index)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>US high yield bonds</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>(0.95</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right; padding-top: 3pt"><FONT color=#231f20>5.16</FONT></TD>
     <TD STYLE="text-align: left; padding-top: 3pt">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>(Barclays Capital US</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Corporate High Yield 2%</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; padding-bottom: 3pt"><FONT color=#231f20>Issuer Capped Index)</FONT></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; padding-bottom: 3pt">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; border-bottom: rgb(57,76,135) 2pt solid; padding-bottom: 8pt; margin-top: 3pt"><FONT color=#231f20>Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.</FONT></P>
</div><br style="clear:both">

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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 25%">&nbsp;</TD><TD STYLE="text-align: center; width: 50%">THIS PAGE NOT PART OF YOUR FUND REPORT</TD><TD STYLE="text-align: right; width: 25%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<P STYLE="text-align: left"></P>

<BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="51%"></TD>
     <TD width="48%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><A NAME="a_002"></A><FONT color=#394c87>Fund Summary </FONT><FONT color=#394c87 STYLE="font-size: 10pt">as of October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc.</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Overview</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>BlackRock Credit Allocation Income Trust I, Inc.&#146;s (PSW) (the
&#147;Fund&#148;)</B> primary investment objective is to provide holders of common shares (&#147;Common Shareholders&#148;) with
high current income. The secondary investment objective of the Fund is to provide Common Shareholders with capital appreciation.
The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in
credit-related securities, including, but not limited to, investment grade corporate bonds, high yield bonds (commonly referred
to as &#147;junk&#148; bonds), bank loans, preferred securities or convertible bonds or derivatives with economic characteristics
similar to these credit-related securities. The Fund may invest directly in such securities or synthetically through the use of
derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT STYLE="color: #231f20">No assurance can
be given that the Fund&#146;s investment objective will be achieved.&nbsp;</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Management Commentary</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For the 12 months ended October 31, 2011, the Fund returned
2.20% based on market price and 4.55% based on net asset value (&#147;NAV&#148;). For the same period, the closed-end Lipper Corporate
Debt Funds (BBB-Rated) category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect
reinvestment of dividends. The Fund's discount to NAV, which widened during the period, accounts for the difference between performance
based on price and performance based on NAV. The following discussion relates to performance based on NAV.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The primary driver of the Fund&#146;s positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put in place to limit expected volatility in interest rates and had a net negative contribution to
performance.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Fund&#146;s holdings, which contributed positively to returns.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies.</FONT> <FONT STYLE="color: #231f20">Capital securities were particularly hurt as they are lower
in the capital structure and therefore tend to exhibit higher volatility during periods of risk aversion.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchase investment grade credits with better predictability of earnings.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Describe portfolio positioning at period end.</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Fund&#146;s corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT STYLE="color: #231f20">The views expressed
reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic
or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.&nbsp;</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="100%"></TD></TR>
<TR vAlign=bottom>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc.</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Information</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 15%"></TD>
     <TD STYLE="width: 1%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Symbol on New York Stock Exchange (&#147;NYSE&#148;)</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><FONT color=#231f20>PSW</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Initial Offering Date</FONT></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><FONT color=#231f20>August 1, 2003</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Yield on Closing Market Price as of October 31, 2011 ($9.25)</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="color: #231f20">7.72</FONT><FONT STYLE="color: #231f20">%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="color: #231f20">$</FONT> <FONT STYLE="color: #231f20">0.0595</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><FONT STYLE="color: #231f20">$</FONT> <FONT STYLE="color: #231f20">0.7140</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Leverage as of October 31, 2011</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT STYLE="color: #231f20">33</FONT><FONT STYLE="color: #231f20">%</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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></TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The distribution rate is not constant and is subject
to change.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: middle">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">10/31/11</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">10/31/10</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Change</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">High</TD>
    <TD COLSPAN="2" STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Low</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 45%; color: #231f20; text-align: left">Market Price</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$&nbsp;&nbsp;9.25</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$&nbsp;&nbsp;9.67</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">(4.34)%</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$&nbsp;&nbsp;9.89</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$8.52</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">Net Asset Value</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$10.52</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$10.75</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">(2.14)%</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$10.90</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$9.88</TD></TR>
</TABLE>



<BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following charts show the portfolio composition and credit quality allocations of the Fund&#146;s long-term investments:</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Composition</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: #000000 1px solid"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 70%"><FONT color=#231f20>Corporate Bonds</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>82</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>69</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Preferred Securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asset Backed Securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Taxable Municipal Bonds</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>US Treasury Obligations</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>14</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87>4</FONT></SUP></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: #000000 1px solid"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 70%"><FONT color=#231f20>AAA/Aaa</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>14</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AA/Aa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>A</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>28</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BBB/Baa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>38</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>38</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BB/Ba</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>B</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCC/Caa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Not Rated</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using the higher of Standard &amp; Poor&#146;s (&#147;S&amp;P&#146;s&#148;)
or Moody&#146;s Investors Service (&#147;Moody&#146;s&#148;) ratings.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Includes US Treasury obligations that are deemed AAA
by the investment advisor.&nbsp;</FONT></TD></TR></TABLE>

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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left; font-size: 8pt"></P><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="51%"></TD>
     <TD width="48%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Fund Summary </FONT><FONT color=#394c87 STYLE="font-size: 10pt">as of October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc.</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Overview</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>BlackRock Credit Allocation Income Trust II, Inc.&#146;s (PSY) (the
&#147;Fund&#148;)</B> primary investment objective is to provide Common Shareholders with current income. The secondary investment
objective of the Fund is to provide Common Shareholders with capital appreciation. The Fund seeks to achieve its investment objectives
by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but not limited
to, investment grade corporate bonds, high yield bonds (commonly referred to as &#147;junk&#148; bonds), bank loans, preferred
securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities. The Fund
may invest directly in such securities or synthetically through the use of derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>No assurance can be given that the Fund&#146;s investment objective will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Management Commentary</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For the 12 months ended October 31, 2011, the Fund returned
0.16% based on market price and 3.71% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated)
category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect reinvestment of dividends.
The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance based on NAV.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The primary driver of the Fund&#146;s positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put into place to limit expected volatility in interest rates and had a net negative contribution
to performance.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Fund&#146;s holdings, which contributed positively to returns.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies. Capital securities were particularly hurt as they are lower in the capital structure and therefore
tend to exhibit higher volatility during periods of risk aversion.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchased investment grade credits with better predictability of earnings.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe portfolio positioning at period end.</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Fund&#146;s corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR> <P STYLE="text-align: right; font-size: 10pt; border-top: rgb(57,76,165) 4pt solid; padding-top: 4pt"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc.</FONT></B></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Information</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 78%"></TD>
     <TD STYLE="text-align: center; width: 16%"></TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Symbol on NYSE</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>PSY</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Initial Offering Date</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>March 28, 2003</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Yield on Closing Market Price as of October 31, 2011 ($9.74)</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7.52</FONT>%</TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0610</FONT></TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.7320</FONT></TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Leverage as of October 31, 2011</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>32</FONT>%</TD>
     </TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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></TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The distribution rate is not constant and is subject
to change.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: middle">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; width: 45%">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; width: 11%; border-top: Black 1pt solid">10/31/11</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; width: 11%; border-top: Black 1pt solid">10/31/10</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; width: 11%; border-top: Black 1pt solid">Change</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; width: 11%; border-top: Black 1pt solid">High</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; width: 11%; border-top: Black 1pt solid">Low</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Market Price</TD>
    <TD STYLE="color: #231f20; text-align: center">$&nbsp;&nbsp;9.74</TD>
    <TD STYLE="color: #231f20; text-align: center">$10.39</TD>
    <TD STYLE="color: #231f20; text-align: center">(6.26)%</TD>
    <TD STYLE="color: #231f20; text-align: center">$10.60</TD>
    <TD STYLE="color: #231f20; text-align: center">$&nbsp;&nbsp;9.08</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">Net Asset Value</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$11.25</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$11.59</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">(2.93)%</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$11.72</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$10.61</TD></TR>
</TABLE>
<BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following charts show the portfolio composition and credit quality allocations of the Fund&#146;s long-term investments:</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Composition</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: #000000 1px solid"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 70%"><FONT color=#231f20>Corporate Bonds</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>80</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>64</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Preferred Securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Treasury Obligations</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asset Backed Securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Taxable Municipal Bonds</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87>4</FONT></SUP></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: #000000 1px solid"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 70%"><FONT color=#231f20>AAA/Aaa</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>16</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AA/Aa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>A</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>26</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BBB/Baa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>39</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>42</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BB/Ba</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>B</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCC/Caa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Not Rated</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Includes US Treasury obligations that are deemed AAA
by the investment advisor.&nbsp;</FONT></TD></TR></TABLE>

<!-- Field: Page; Sequence: 7 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page --><BR> <TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0> <TR> <TD width="53%"></TD> <TD width="46%"></TD></TR> <TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Fund Summary </FONT><FONT color=#394c87 STYLE="font-size: 10pt">as of October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Overview</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>BlackRock Credit Allocation Income Trust III&#146;s (BPP) (the &#147;Fund&#148;)
</B>investment objective is to provide high current income consistent with capital preservation. The Fund seeks to achieve its
investment objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including,
but not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as &#147;junk&#148; bonds), bank
loans, preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related
securities. The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>No assurance can be given that the Fund&#146;s investment objective will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For the 12 months ended October 31, 2011, the Fund returned
(0.16)% based on market price and 3.56% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated)
category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect reinvestment of dividends.
The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance based on NAV.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The primary driver of the Fund&#146;s positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put into place to limit expected volatility in interest rates and had a net negative contribution
to performance.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Fund&#146;s holdings, which contributed positively to returns.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies.</FONT> Capital securities were particularly hurt as they are lower in the capital structure and
therefore tend to exhibit higher volatility during periods of risk aversion.&nbsp;</TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchase investment grade credits with better predictability of earnings.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe portfolio positioning at period end.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Fund&#146;s corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->8<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<BR> <P STYLE="text-align: right; font-size: 10pt; border-top: rgb(57,76,165) 4pt solid; padding-top: 4pt"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III</FONT></B></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Information</FONT></B></P>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 78%"></TD>
     <TD STYLE="width: 16%; text-align: center"></TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Symbol on NYSE</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>BPP</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Initial Offering Date</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>February 28, 2003</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Yield on Closing Market Price as of October 31, 2011 ($10.53)</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7.01</FONT>%</TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Current Monthly Distribution per Common Share</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0615</FONT></TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Current Annualized Distribution per Common Share</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.7380</FONT></TD>
     </TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Leverage as of October 31, 2011</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>29</FONT>%</TD>
     </TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">A change in the distribution rate was declared on December
5, 2011. The Monthly Distribution per Common Share increased to $0.0635. The Yield on Closing Market Price, Current Monthly Distribution
per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution
rate is not constant and is subject to further change in the future.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: middle">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; border-top: Black 1pt solid">10/31/11</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; border-top: Black 1pt solid">10/31/10</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; border-top: Black 1pt solid">Change</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; border-top: Black 1pt solid">High</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; font-weight: bold; text-align: center; border-top: Black 1pt solid">Low</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; width: 45%">Market Price</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$10.53</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$11.23</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">(6.23)%</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$11.31</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$&nbsp;&nbsp;9.71</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">Net Asset Value</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$12.07</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$12.41</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">(2.74)%</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$12.62</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$11.35</TD></TR>
</TABLE>
<BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following charts show the portfolio composition and credit quality allocations of the Fund&#146;s long-term investments:</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Composition</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: #000000 1px solid"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 70%"><FONT color=#231f20>Corporate Bonds</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>83</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>72</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Preferred Securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Treasury Obligations</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Taxable Municipal Bonds</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87>4</FONT></SUP></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 70%"><FONT color=#231f20>AAA/Aaa</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>9</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AA/Aa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>A</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>31</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>26</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BBB/Baa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>40</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BB/Ba</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>B</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCC/Caa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Not Rated</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Includes US Treasury obligations that are deemed AAA
by the investment advisor.&nbsp;</FONT></TD></TR></TABLE>

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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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    <!-- Field: /Page --><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Fund Summary </FONT><FONT color=#394c87 STYLE="font-size: 10pt">as of October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Overview</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>BlackRock Credit Allocation Income Trust IV&#146;s (BTZ) (the &#147;Fund&#148;)
</B>investment objective is to provide current income, current gains and capital appreciation. The Fund seeks to achieve its investment
objective by investing, under normal market conditions, at least 80% of its assets in credit-related securities, including, but
not limited to, investment grade corporate bonds, high yield bonds (commonly referred to as &#147;junk&#148; bonds), bank loans,
preferred securities or convertible bonds or derivatives with economic characteristics similar to these credit-related securities.
The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>No assurance can be given that the Fund&#146;s investment objective will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For the 12 months ended October 31, 2011, the Fund returned
(0.60)% based on market price and 3.28% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds (BBB-Rated)
category posted an average return of 2.90% based on market price and 4.65% based on NAV. All returns reflect reinvestment of dividends.
The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and
performance based on NAV. The following discussion relates to performance based on NAV.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The primary driver of the Fund&#146;s positive performance
was its duration positioning (management of interest rate sensitivity) as interest rates generally moved lower during the period.
However, duration in the Fund was partially hedged using interest rate derivative instruments such as futures contracts, options
and swaps. These hedges were put into place to limit expected volatility in interest rates and had a net negative contribution
to performance.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s allocation to high yield corporate credit
benefited performance despite recent weakness in the sector, as higher carry yields (income generation) and improving fundamentals
helped to offset price declines. Within investment grade corporate credit, security selection was focused on increasing the overall
quality and liquidity of the Fund&#146;s holdings, which contributed positively to returns.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Conversely, sector allocation within investment grade
corporate credit had a negative impact on performance. The Fund held capital securities in the financials sector, which mostly
underperformed other credit sectors as investors feared the sovereign debt crisis in Europe would ultimately have a negative impact
on US-based financial companies.</FONT> <FONT STYLE="color: #231f20">Capital securities were particularly hurt as they are lower
in the capital structure and therefore tend to exhibit higher volatility during periods of risk aversion.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">During the 12-month period, the Fund increased its leveraged
exposure to corporate credit in order to position itself to benefit from improving corporate fundamentals in an accommodative
monetary policy environment. In the latter half of the period, the Fund reduced exposure to riskier credits as these names typically
require significant economic growth to realize a boost in valuations. From an industry perspective, the Fund increased exposure
to independent energy names. Within the wireless telecommunications services sector, the Fund increased its credit quality profile
by selling names in high yield to purchase investment grade credits with better predictability of earnings.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe portfolio positioning at period end.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund maintained diversified exposure across investment
grade and high yield corporate credits. Portfolio holdings at period end reflected a bias toward higher-quality issues and a preference
for more stable industries and companies that offer good cash flows, earnings and revenue visibility and attractive downside protection.
The Fund&#146;s corporate credit holdings reflect a bias toward industrials over financials and utilities. Within industrials,
the Fund favored media cable and media non-cable names.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR> <P STYLE="text-align: right; font-size: 10pt; border-top: rgb(57,76,165) 4pt solid; padding-top: 4pt"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV</FONT></B></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Information</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Symbol on NYSE</TD>
    <TD STYLE="color: #231f20; text-align: center">BTZ</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Initial Offering Date</TD>
    <TD STYLE="color: #231f20; text-align: center">December 27, 2006</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 78%; color: #231f20; text-align: left">Yield on Closing Market Price as of October 31, 2011 ($12.08)<SUP>1</SUP></TD>
    <TD STYLE="width: 16%; color: #231f20; text-align: center">7.60%</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Current Monthly Distribution per Common Share<SUP>2</SUP></TD>
    <TD STYLE="color: #231f20; text-align: center">$0.0765</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Current Annualized Distribution per Common Share<SUP>2</SUP></TD>
    <TD STYLE="color: #231f20; text-align: center">$0.9180</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">Leverage as of October 31, 2011<SUP>3</SUP></TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">32%</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">A change in the distribution rate was declared on December
5, 2011. The Monthly Distribution per Common Share increased to $0.0785. The Yield on Closing Market Price, Current Monthly Distribution
per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution
rate is not constant and is subject to further change in the future.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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) minus the
sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized
by the Fund, please see The Benefits and Risks of Leveraging on page 14.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: middle">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">10/31/11</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">10/31/10</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Change</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">High</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Low</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 45%; color: #231f20; text-align: left">Market Price</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$12.08</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$13.02</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">(7.22)%</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$13.20</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$11.19</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">Net Asset Value</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$13.94</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$14.46</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">(3.60)%</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$14.56</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$13.10</TD></TR>
</TABLE>
<BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following charts show the portfolio composition of the Fund&#146;s long-term investments and credit quality allocations of the Fund&#146;s long-term investments:</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Composition</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
     <TD STYLE="width: 70%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 6%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Corporate Bonds</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>64</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Preferred Securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Treasury Obligations</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Taxable Municipal Bonds</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Asset Backed Securities</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87>4</FONT></SUP></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 70%"><FONT color=#231f20>AAA/Aaa</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left; width: 6%"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right; width: 9%"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left; width: 6%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AA/Aa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>11</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>A</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>29</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>22</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BBB/Baa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>44</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BB/Ba</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>B</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Not Rated</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Includes US Treasury Obligations that are deemed AAA
by the investment advisor.&nbsp;</FONT></TD></TR></TABLE>

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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->11<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page --><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Fund Summary </FONT><FONT color=#394c87 STYLE="font-size: 10pt">as of October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust</FONT></B></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Overview</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>BlackRock Floating Rate Income Trust&#146;s (BGT) (the &#147;Fund&#148;)
</B>primary investment objective is to provide a high level of current income. The Fund&#146;s secondary investment objective
is to seek the preservation of capital. The Fund seeks to achieve its investment objectives by investing primarily, under normal
conditions, 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 floating and variable rate securities including senior secured floating rate loans made to corporate
and other business entities. Under normal market conditions, 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 synthetically through the use of derivatives.</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>No assurance can be given that the Fund&#146;s investment objectives will be achieved.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Management Commentary</FONT></B></P>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>How did the Fund perform?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For the 12 months ended October 31, 2011, the Fund returned
(3.46)% based on market price and 4.03% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category
posted an average return of 0.51% based on market price and 4.01% based on NAV. All returns reflect reinvestment of dividends.
The Fund moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based
on price and performance based on NAV. The following discussion relates to performance based on NAV.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>What factors influenced performance?</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Floating rate loan interests (&#147;bank loans&#148;)
performed well over the 12-month period. Although it lagged a number of its fixed income peers, the asset class benefited from
a favorable technical backdrop, solid corporate fundamentals and record low default rates. More recently, however, macroeconomic
concerns have weighed on the sector, triggering sharp bouts of volatility, some modest spread widening and significant price depreciation
from the near-par levels seen in the first quarter of 2011.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s positive performance was driven primarily
by security selection within the higher-quality tiers of the bank loan market. By and large, positive selection reflected the
Fund&#146;s higher-quality bias and focus on more &#147;recession-resistant&#148; sectors that are not heavily reliant on a strong
consumer, such as chemicals and non-captive diversified industrials.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">While the Fund invests primarily in bank loans, it also
maintains an allocation to emerging market and high yield bonds (approximately 25% of the leveraged portfolio). During the reporting
period, the Fund pursued a bias towards high yield corporate bonds at the expense of its emerging market exposure. This positioning
benefited performance for the year as high yield has outperformed not only emerging market debt, but bank loans as well.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">As the fund is mandated to hold a certain percentage
of its assets in non-US instruments, our exposure to non-US-dollar denominated loans, particularly those issued in Europe, detracted
from performance given a much lower level of liquidity and market transparency. This mainly impaired the portfolio when the global
sell-off commenced in August.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe recent portfolio activity.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">During the 12-month period, the Fund maintained its higher-quality
bias in terms of loan structure, overall credit quality and liquidity. Prior to the market correction in August, management reduced
exposure to some of the Fund&#146;s lower-quality holdings and increased its level of cash as market conditions appeared to be
weakening and our outlook grew increasingly uncertain. While transitioning the overall portfolio to a more conservative stance,
management continued to seek investment opportunities in the market, albeit cautiously, targeting companies with superior credit
fundamentals (i.e., stable income streams, earnings visibility, and attractive downside protection).&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="text-align: left; font-size: 10pt"><FONT STYLE="color: #231f20"><B>Describe portfolio positioning at period end.</B></FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">At period end, the Fund held large exposures to the non-captive
diversified industrials, chemicals and wireless sectors, while exposure to healthcare, media non-cable and technology was limited.
The Fund held 78% of its total portfolio in bank loans, 18% in corporate bonds and the remainder invested in a mix of asset backed
securities, foreign agency obligations and other interests. The Fund ended the period with leverage at 27% of its total managed
assets.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt; font-size: 8pt"><FONT color=#231f20>The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR> <P STYLE="text-align: right; font-size: 10pt; border-top: rgb(57,76,165) 4pt solid; padding-top: 4pt"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust</FONT></B></P>

<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Information</FONT></B></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Symbol on NYSE</TD>
    <TD STYLE="color: #231f20; text-align: center">BGT</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Initial Offering Date</TD>
    <TD STYLE="color: #231f20; text-align: center">August 30, 2004</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 84%; color: #231f20; text-align: left">Yield on Closing Market Price as of October 31, 2011 ($13.00)<SUP>1</SUP></TD>
    <TD STYLE="width: 16%; color: #231f20; text-align: center">7.15%</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Current Monthly Distribution per Common Share<SUP>2</SUP></TD>
    <TD STYLE="color: #231f20; text-align: center">$0.0775</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">Current Annualized Distribution per Common Share<SUP>2</SUP></TD>
    <TD STYLE="color: #231f20; text-align: center">$0.9300</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">Leverage as of October 31, 2011<SUP>3</SUP></TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">27%</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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.&nbsp;</FONT></TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The distribution rate is not constant and is subject
to change.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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 of liabilities
(other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please
see The Benefits and Risks of Leveraging on page 14.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The table below summarizes the changes in the Fund&#146;s market price and NAV per share:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: middle">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">10/31/11</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">10/31/10</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Change</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">High</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Low</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 45%; color: #231f20; text-align: left">Market Price</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$13.00</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$14.52</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">(10.47)%</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$17.00</TD>
    <TD STYLE="width: 11%; color: #231f20; text-align: center">$11.71</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">Net Asset Value</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$13.97</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$14.48</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">&nbsp;&nbsp;(3.52)%</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$14.83</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$13.25</TD></TR>
</TABLE>
<BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following charts show the portfolio composition of the Fund&#146;s long-term investments and credit quality allocations of the Fund&#146;s long-term investments excluding common stocks and floating rate loan interests:</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Composition</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
     <TD STYLE="width: 70%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 6%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Floating Rate Loan Interests</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>78</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>79</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Corporate Bonds</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asset Backed Securities</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Foreign Agency Obligations</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Other Interests</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Credit Quality Allocations</FONT></B><B><SUP><FONT color=#394c87>4</FONT></SUP></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
     <TD STYLE="width: 70%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 6%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/11</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">10/31/10</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AA/Aa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>A</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BBB/Baa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>25</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BB/Ba</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>27</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>B</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>34</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>29</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCC/Caa</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Not Rated</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">22</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><SUP><FONT color=#231f20>5</FONT></sup>&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using the higher of S&amp;P&#146;s or Moody&#146;s ratings.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The investment advisor has deemed certain of these securities
to be of investment grade quality. As of October 31, 2010, the market value of these securities was $606,918, representing 1%
of the Fund's long-term investments.&nbsp;</FONT></TD></TR></TABLE>

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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->13<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left; font-size: 8pt"></P><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_003"></A><FONT color=#394c87>The Benefits and Risks of Leveraging</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds may utilize leverage to seek to enhance the yield and NAV of their common shares (&#147;Common Shares&#148;). However, these objectives cannot be achieved in all interest rate environments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements. The Funds also had auction market preferred shares (&#147;Preferred Shares&#148;) issuances outstanding during the year ended October 31, 2011. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund&#146;s shareholders will benefit from the incremental net income.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>To illustrate these concepts, assume a Fund&#146;s capitalization is $100 million and it borrows an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Fund&#146;s long-term investments, and therefore the Fund&#146;s shareholders are the beneficiaries of the incremental net income.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Fund&#146;s total portfolio earns income based on lower long-term interest rates.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Furthermore, the value of the Funds&#146; portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Funds&#146; borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds&#146; NAV positively or negatively in addition to the impact on Fund performance from borrowings discussed above.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The use of leverage may enhance opportunities for increased income to the Funds and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Funds&#146; NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Funds&#146; net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund&#146;s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may limit each Fund&#146;s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by Shareholders and may reduce income.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20">Under the Investment Company Act of 1940, the Funds are permitted to
borrow through their credit facility or by entering into reverse repurchase agreements up to 33<SUP>1</SUP>/<FONT STYLE="font-size: 7pt">3</FONT>%
of their total managed assets. As of October 31, 2011, the Funds had outstanding leverage from borrowings as a percentage of their
total managed assets as follows:</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: middle">
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="color: #231f20; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Percent of<BR> Leverage</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 80%; color: #231f20; text-align: left">PSW</TD>
    <TD STYLE="width: 20%; color: #231f20; text-align: center">33%</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">PSY</TD>
    <TD STYLE="color: #231f20; text-align: center">32%</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">BPP</TD>
    <TD STYLE="color: #231f20; text-align: center">29%</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">BTZ</TD>
    <TD STYLE="color: #231f20; text-align: center">32%</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">BGT</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">27%</TD></TR>
</TABLE>
<BR>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_004"></A><FONT color=#394c87>Derivative Financial Instruments</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20">The Funds may invest in various derivative financial instruments,
including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the
Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are
used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity,
credit, interest rate, foreign currency exchange rate, and/or other risks. Derivative financial instruments involve risks,
including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible
default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds&#146; ability
to use a derivative financial instrument successfully depends on the investment advisor&#146;s ability to predict pertinent
market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses
greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or
for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower
dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds&#146;
investments in these instruments are discussed in detail in the Notes to Financial Statements.</FONT></P>

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<P STYLE="text-align: left"></P><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><A
                                    NAME="a_005"></A><FONT STYLE="color: #394c87">Schedule of Investments </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">October
                                    31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Asset-Backed Securities</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Atrium CDO Corp., Series 5A, Class A4, 0.69%,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt"><FONT color=#231f20>7/20/20 <FONT color=#231f20>(a)(b)</FONT></FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>503,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SLM Student Loan Trust, Series 2004-B, Class A2,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>0.55%, 6/15/21 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>516</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>493,571</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><B><FONT color=#231f20>Total Asset-Backed Securities &#151; 0.9%</FONT></B></TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><FONT color=#231f20>997,321</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><BR>
<B><FONT STYLE="color: #231f20">Corporate Bonds</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Aerospace &amp; Defense &#151; 1.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BE Aerospace, Inc., 8.50%, 7/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>560</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>611,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bombardier, Inc., 7.75%, 3/15/20 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>720</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>792,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Huntington Ingalls Industries, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>6.88%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>151,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>7.13%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>140</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>141,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kratos Defense &amp; Security Solutions, Inc.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt"><FONT color=#231f20>10.00%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>282</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>291,870</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,988,545</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Airlines &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Airlines Pass-Through Trust:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Series 2011-1, Class A, 5.25%, 7/31/22</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>295,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Series 2011-2, Class A, 8.63%, 4/15/23</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Continental Airlines Pass-Through Certificates,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Series 2009-2, Class B, 9.25%, 5/10/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>335</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>344,636</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>294</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>290,371</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,045,320</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Auto Components &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Daimler Finance North America LLC, 2.63%,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt"><FONT color=#231f20>9/15/16 <FONT color=#231f20>(a)(c)</FONT></FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>795,098</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Delphi Corp., 6.13%, 5/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>130</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>132,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Icahn Enterprises LP:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>7.75%, 1/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>205,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>8.00%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>508,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,641,448</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Beverages &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Constellation Brands, Inc., 7.25%, 5/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>460</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>506,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Building Products &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Building Materials Corp. of America (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>7.00%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>85</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>6.75%, 5/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>270</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>280,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>370,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 4.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>817,321</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>E*Trade Financial Corp., 12.50%, 11/30/17 (d)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>440</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>507,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Goldman Sachs Group, Inc., 6.25%, 2/01/41 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,050</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,082,767</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>445</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>435,838</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Morgan Stanley (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>5.75%, 1/25/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,012,283</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>5.50%, 7/28/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>380,926</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS AG (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>2.25%, 1/28/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>373,679</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>5.88%, 7/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>671,476</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,281,390</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Chemicals &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ashland, Inc., 9.13%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>120</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>134,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Celanese US Holdings LLC, 5.88%, 6/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>370</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>393,125</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Chemicals (concluded)</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lyondell Chemical Co., 11.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>290</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>322,988</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Solutia, Inc., 7.88%, 3/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>214,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,064,213</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 5.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Amsouth Bank, Series AI, 4.85%, 4/01/13</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>192,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>212,630</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Associated Banc-Corp, 5.13%, 3/28/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>515</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>531,376</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas, 3.60%, 2/23/16 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>388,907</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Branch Banking &amp; Trust Co. (b):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>0.66%, 9/13/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>231,631</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>0.60%, 5/23/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>136,184</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>60</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>60,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>370</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>369,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>331</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>331,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>89,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>City National Corp., 5.25%, 9/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>560,704</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Discover Bank, 8.70%, 11/18/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>339,312</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,400,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Regions Financial Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.88%, 4/26/13</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>585,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>460</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>442,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SVB Financial Group, 5.38%, 9/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>567,574</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,438,606</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Services &amp; Supplies &#151; 3.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviation Capital Group Corp. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 10/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,129,486</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 4/06/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>529,601</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Casella Waste Systems, Inc., 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>169</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>162,240</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Clean Harbors, Inc., 7.63%, 8/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>306</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>323,595</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Corrections Corp. of America, 7.75%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>838,937</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Iron Mountain, Inc., 7.75%, 10/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>93,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Mobile Mini, Inc., 7.88%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>65</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>65,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,142,234</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Communications Equipment &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avaya, Inc., 9.75%, 11/01/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>177,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>733,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>EH Holding Corp., 6.50%, 6/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>102,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,012,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Consumer Finance &#151; 4.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Express Credit Corp., 2.75%, 9/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,417,451</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capital One Bank USA NA, 8.80%, 7/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>920,554</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ford Motor Credit Co., LLC, 7.00%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>690</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>752,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>420</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>449,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SLM Corp., 6.25%, 1/25/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,180</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,180,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,719,505</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Containers &amp; Packaging &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ball Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>433,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>505</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>544,137</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bemis Co., Inc., 6.80%, 8/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>234,419</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>210,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>155</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>169,337</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Rock-Tenn Co., 9.25%, 3/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>75</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>79,688</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sealed Air Corp., 8.38%, 9/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>30</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>32,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,703,056</FONT></TD></TR></TABLE><BR>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Portfolio Abbreviations</FONT></B></P>

<TABLE CELLSPACING="0" BORDER="0" STYLE="font: 9pt Arial; width: 100%">
<TR vAlign=bottom>
    <TD ROWSPAN="4" STYLE="text-align: left; vertical-align: top; width: 38%"><P><FONT color=#231f20>To simplify the listings of portfolio holdings in the Schedules of Investments, the names of many of the securities have been abbreviated according to the following list:</FONT></P> </TD>
     <TD STYLE="text-align: left; width: 6%"><B><FONT color=#231f20>CAD</FONT></B></TD>
     <TD STYLE="text-align: left; width: 22%"><FONT color=#231f20>Canadian Dollar</FONT></TD>
     <TD STYLE="text-align: left; width: 7%"><B><FONT color=#231f20>GBP</FONT></B></TD>
     <TD STYLE="text-align: left; width: 27%"><FONT color=#231f20>British Pound</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>CHF</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Swiss Franc</FONT></TD>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>LIBOR</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>London InterBank Offered Rate</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>EUR</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Euro</FONT></TD>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>RB</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Revenue Bonds</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>FKA</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Formerly Known As</FONT></TD>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>USD</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Dollar</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->16<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_17"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 10.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ally Financial, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.50%, 2/11/14</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>219,938</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.30%, 2/12/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>409,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.00%, 11/01/31</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>440</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>438,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bank of America Corp. (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.30%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>855</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>817,627</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.00%, 5/13/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,244,058</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Citigroup, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.38%, 8/12/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>323,863</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.59%, 12/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>235,084</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>210</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,197,296</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>120</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>121,098</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ING Bank NV, 5.00%, 6/09/21 (a)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>564,531</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intesa Sanpaolo SpA (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>2.38%, 12/21/12</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>779,110</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 2/24/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>184,541</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>JPMorgan Chase &amp; Co., 3.15%, 7/05/16 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>951,612</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Moody&#146;s Corp., 6.06%, 9/07/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,642,573</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reynolds Group Issuer, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.88%, 8/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>255</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>266,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.25%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>174,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>WMG Acquisition Corp., 9.50%, 6/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>50</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>53,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,848,756</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Telecommunication Services &#151; 4.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AT&amp;T, Inc., 6.30%, 1/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,201,729</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>France Telecom SA, 4.13%, 9/14/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>154,534</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.75%, 2/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>168,712</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.13%, 7/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>758</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>750,420</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Qwest Corp., 8.38%, 5/01/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>445,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Telecom Italia Capital SA, 6.18%, 6/18/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>228,555</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Telefonica Emisiones SAU, 5.46%, 2/16/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>310</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>314,186</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verizon Communications, Inc., 7.35%, 4/01/39 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>925</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,276,923</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Windstream Corp., 7.88%, 11/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>259,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,799,834</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Electric Utilities &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Progress Energy, Inc., 7.00%, 10/30/31 (c)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,311,396</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><B><FONT color=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Jabil Circuit, Inc., 8.25%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>232,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NXP BV, 3.15%, 10/15/13 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>686,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>918,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Energy Equipment &amp; Services &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ensco Plc, 4.70%, 3/15/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>460</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>484,010</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Frac Tech Services LLC, 7.63%, 11/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>261,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Key Energy Services, Inc., 6.75%, 3/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>178,938</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>234,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Oil States International, Inc., 6.50%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>120</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>125,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SunCoke Energy, Inc., 7.63%, 8/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>45</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>45,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,329,910</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food &amp; Staples Retailing &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CVS Caremark Corp., 6.30%, 6/01/62 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>777,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Wal-Mart Stores, Inc., 6.20%, 4/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,379,672</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,156,672</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food Products &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kraft Foods, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 8/11/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>385</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>460,191</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.13%, 8/23/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>464,103</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>86</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>99,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,024,269</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Gas Utilities &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>113,563</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Equipment &amp; Supplies &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>565,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Teleflex, Inc., 6.88%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>119,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>684,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Providers &amp; Services &#151; 3.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aetna, Inc., 6.75%, 12/15/37 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>508,966</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviv Healthcare Properties LP, 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>105</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>101,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.50%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>55</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>60,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>560</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>586,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>195</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>208,894</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.50%, 2/15/22</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>479,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>INC Research LLC, 11.50%, 7/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>148,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>inVentiv Health, Inc., 10.00%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>120</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Tenet Healthcare Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>401,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.88%, 7/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>282,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,054,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,948,435</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Household Durables &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>365</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>289,263</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><B><FONT color=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AES Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>9.75%, 4/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>235</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>266,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.38%, 7/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>75</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>133,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>104,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy Future Intermediate Holding Co., LLC, 10.00%,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>12/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>410</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>430,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NRG Energy, Inc., 7.38%, 1/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>416,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,431,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Insurance &#151; 8.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Allianz Finance II BV, 5.75%, 7/08/41 (b)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>247,763</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Allstate Corp., 7.45%, 5/16/19 (c)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,119,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American International Group, Inc., 6.40%,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>12/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>410</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>429,412</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aon Corp., 5.00%, 9/30/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,753,397</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dai-ichi Life Insurance Co. Ltd., 7.25%,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>12/31/49 (a)(b)(e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>88</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>89,924</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>659,637</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>253,962</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Genworth Financial, Inc., 7.63%, 9/24/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>203,384</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Manulife Financial Corp., 4.90%, 9/17/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,027,102</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>86,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Northwestern Mutual Life Insurance, 6.06%, 3/30/40 (a)(c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,054,781</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>285,076</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Prudential Financial, Inc., 6.63%, 12/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>951,260</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>XL Group Ltd., 5.75%, 10/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>810</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>854,066</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,014,939</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>IT Services &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>160</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>149,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>First Data Corp. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.38%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>170</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>168,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.25%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>12.63%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>215</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>203,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SunGard Data Systems, Inc., 7.38%, 11/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>235,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>775,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Life Sciences Tools &amp; Services &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>865</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>942,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Life Technologies Corp., 6.00%, 3/01/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,114,541</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,057,391</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 17; Value: 75 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->17<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_18"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Machinery &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ingersoll-Rand Global Holding Co. Ltd.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 6pt"><FONT color=#231f20>9.50%, 4/15/14</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>940,430</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Navistar International Corp., 8.25%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>218</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>237,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,177,505</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#394c87><B>Media &#151; 9.2%</B></font></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>97,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>541</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>623,502</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cengage Learning Acquisitions, Inc.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 6pt"><FONT color=#231f20>10.50%, 1/15/15 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>130,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Comcast Corp., 6.30%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>945,182</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,118,633</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CSC Holdings LLC:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>8.50%, 4/15/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>160</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>175,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>8.50%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>434,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>8.63%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>312,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>656,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DISH DBS Corp., 7.00%, 10/01/13</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>475,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Luxembourg SA (d):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>11.50%, 2/04/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>40</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>40,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>11.50%, 2/04/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>314,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>239,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>News America, Inc., 6.15%, 3/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,043,310</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>925</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,124,334</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner, Inc., 7.70%, 5/01/32 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,237,053</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Germany GmbH), 8.13%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>255,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>646,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,970,602</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Metals &amp; Mining &#151; 2.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alcoa, Inc., 5.40%, 4/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>580</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>574,699</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barrick Gold Corp., 2.90%, 5/30/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>285,522</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Barrick North America Finance LLC, 5.70%, 5/30/41</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>348,674</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>FMG Resources August 2006 Property Ltd. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.88%, 2/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>55</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>52,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>8.25%, 11/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>45</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>45,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>813,361</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Novelis, Inc., 8.75%, 12/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Teck Resources Ltd., 10.75%, 5/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>494,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,865,206</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><B><FONT color=#394c87>Multi-Utilities &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CenterPoint Energy, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>5.95%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>844,566</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.50%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>902,905</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,747,471</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Multiline Retail &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>JC Penney Co., Inc., 5.65%, 6/01/20</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>659,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 12.5%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alpha Natural Resources, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.00%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>60</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>59,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.25%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>162,938</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Anadarko Petroleum Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>5.95%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>244</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>280,409</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.38%, 9/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>11,767</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Arch Coal, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>7.00%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>50</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>51,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>7.25%, 6/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>169,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BP Capital Markets Plc, 3.88%, 3/10/15 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>374,701</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Buckeye Partners LP, 4.88%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>236,963</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>770</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>806,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>140</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>141,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>65</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>66,788</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>105</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>104,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Copano Energy LLC, 7.13%, 4/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>130</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>132,925</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DCP Midstream LLC, 4.75%, 9/30/21 (a)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>339,213</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Denbury Resources, Inc., 6.38%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>135</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>139,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Corp., 7.00%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>335</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>375,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Pipeline Partners Operating Co., LLC,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 6pt"><FONT color=#231f20>5.00%, 10/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>128,184</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enbridge Energy Partners LP, 9.88%, 3/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>636,165</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>242,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enterprise Products Operating LLC, 6.65%, 4/15/18 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,176,342</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Forest Oil Corp., 8.50%, 2/15/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>295</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>318,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Hilcorp Energy I LP, 7.75%, 11/01/15 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>169,274</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,194,906</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Linn Energy LLC, 7.75%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240,187</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>333,402</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MarkWest Energy Partners LP, 6.25%, 6/15/22 (f)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>128,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Newfield Exploration Co., 5.75%, 1/30/22</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>121,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Oasis Petroleum, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 2/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>84,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 11/01/21 (f)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>70</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>70,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>OGX Petroleo e Gas Participacoes SA, 8.50%,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 6pt"><FONT color=#231f20>6/01/18 <FONT color=#231f20>(a)</FONT></FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>280</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>277,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ONEOK Partners LP, 8.63%, 3/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,034,405</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrobras International Finance Co., 3.88%, 1/27/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>875</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>895,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrohawk Energy Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>10.50%, 8/01/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>145</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>162,581</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.25%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>186,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pioneer Natural Resources Co.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.65%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>162,908</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.88%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>124,351</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Plains Exploration &amp; Production Co.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>7.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>185</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>191,937</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>10.00%, 3/01/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>95</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>105,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Precision Drilling Corp., 6.50%, 12/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>95</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Premier Oil, 5.00%, 6/09/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>858,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Range Resources Corp., 6.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>222,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>170</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>164,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SM Energy Co., 6.63%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>55</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>55,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Western Gas Partners LP, 5.38%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>372,204</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Williams Cos., Inc., 8.75%, 3/15/32</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>374,410</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>13,584,998</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Paper &amp; Forest Products &#151; 2.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Boise Paper Holdings LLC, 8.00%, 4/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>157,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>785</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>870,439</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>International Paper Co.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>7.50%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>941,845</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>7.30%, 11/15/39</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>932,843</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Longview Fibre Paper &amp; Packaging, Inc.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>81,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verso Paper Holdings LLC, 11.50%, 7/01/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>85</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>89,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,073,452</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Pharmaceuticals &#151; 9.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>892</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,133,257</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>141,137</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,690</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,284,327</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Merck &amp; Co., Inc. (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.50%, 12/01/33</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>649,655</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.55%, 9/15/37</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,504</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,093,809</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pfizer, Inc., 7.20%, 3/15/39 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,734,135</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Valeant Pharmaceuticals International, 6.50%, 7/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>65</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>65,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Watson Pharmaceuticals, Inc., 6.13%, 8/15/19 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>490</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>572,398</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,673,718</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>907,763</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Developers Diversified Realty Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>4.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>155</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>145,864</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>7.88%, 9/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>189,420</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ERP Operating LP, 5.75%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>894,065</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 18 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->18<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_19"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) (concluded)</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCP, Inc., 5.38%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>256,759</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UDR, Inc., 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>359,902</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>270</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>264,397</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,018,170</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Management &amp; Development &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Realogy Corp., 7.88%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>135</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>121,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Shea Homes LP, 8.63%, 5/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>110</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>99,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>221,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Road &amp; Rail &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>99,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Florida East Coast Railway Corp., 8.13%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>40</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>40,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Hertz Corp., 6.75%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>207</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>211,140</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,388,004</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,738,894</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><B><FONT color=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>192,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>KLA-Tencor Corp., 6.90%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>461</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>524,795</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>717,645</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AutoNation, Inc., 6.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>445</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>461,688</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Best Buy Co., Inc., 5.50%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>143,380</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Limited Brands, Inc., 7.00%, 5/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>244,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>QVC, Inc., 7.38%, 10/15/20 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>25</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>27,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>VF Corp., 5.95%, 11/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>414,480</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,291,748</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Tobacco &#151; 2.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Altria Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>9.25%, 8/06/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>152,876</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.20%, 2/06/39</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>937</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,447,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lorillard Tobacco Co., 3.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>602,329</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,202,713</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Wireless Telecommunication Services &#151; 3.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>America Movil SAB de CV, 2.38%, 9/08/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>585</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>584,060</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Tower Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>462,846</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.90%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>295</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>326,046</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cricket Communications, Inc., 7.75%, 5/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>155</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>160,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle International Corp., 9.00%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>210</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>228,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle Towers LLC (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.50%, 1/15/37</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>299,543</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.11%, 1/15/40</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>331,498</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Digicel Group Ltd., 8.25%, 9/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>127,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>50</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>50,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>195</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>192,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,089,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sprint Capital Corp., 6.88%, 11/15/28</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>110</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>80,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,933,817</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><B><FONT color=#231f20>Total Corporate Bonds &#151; 118.4%</FONT></B></TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><FONT color=#231f20>128,492,584</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><BR>
<B><FONT STYLE="color: #231f20">Preferred Securities</FONT></B></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Capital Trusts</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 4.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>505,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust III, 5.34% (b)(e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>726,232</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust IV, 1.35%, 6/01/37 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,740</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,319,991</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,551,223</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Capital Trusts</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 2.7%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays Bank Plc (a)(b)(e):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.93</FONT>%</TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>425</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>344,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.43</FONT>% (c)</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>140,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas, 7.20% (a)(b)(c)(e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>247,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Agricole SA (a)(b)(e):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.64</FONT>% (c)</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>236,425</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.38</FONT>%</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>308,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>530</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>413,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>M&amp;T Capital Trust II, 8.28%, 6/01/27</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>910</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>919,115</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>National City Preferred Capital Trust I, 12.00% (b)(e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>311,298</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,920,238</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 2.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ING Capital Funding Trust III, 3.97% (b)(e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>338,890</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,085</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,129,921</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,468,811</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Electric Utilities &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>PPL Capital Funding, 6.70%, 3/30/67 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>482,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Insurance &#151; 7.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ace Capital Trust II, 9.70%, 4/01/30</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>648,966</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Allstate Corp., 6.50%, 5/15/67 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>465,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American International Group, Inc., 8.18%, 5/15/68 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>217,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AXA SA, 6.38% (a)(b)(e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>747,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chubb Corp., 6.38%, 3/29/67 (b)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>502,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Farmers Exchange Capital, 7.05%, 7/15/28 (a)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>542,153</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Great-West Life &amp; Annuity Insurance Co.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>7.15%, 5/16/46 (a)(b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>487,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>607,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lincoln National Corp., 7.00%, 5/17/66 (b)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>470,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MetLife, Inc., 6.40%, 12/15/66</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>491,169</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reinsurance Group of America, 6.75%, 12/15/65 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>607,480</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Swiss Re Capital I LP, 6.85% (a)(b)(e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>405,782</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ZFS Finance (USA), Trust II, 6.45%, 12/15/65 (a)(b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,728,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>146</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>141,620</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,062,920</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><B><FONT color=#394c87>Multi-Utilities &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dominion Resources Capital Trust I, 7.83%, 12/01/27</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>504,057</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dominion Resources, Inc., 7.50%, 6/30/66 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>525,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,029,057</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>853,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>509,587</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,363,462</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><B><FONT color=#231f20>Total Capital Trusts &#151; 19.2%</FONT></B></TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><FONT color=#231f20>20,878,211</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><BR>
<B><FONT color=#231f20>Preferred Stocks</FONT></B></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Shares</FONT></B></TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</TD>
     <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Auto Components &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Dana Holding Corp., 4.00% (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>123,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>SG Preferred Capital II, 6.30% (a)(b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,004,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Ally Financial, Inc., 7.00% (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>440</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>328,144</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Thrifts &amp; Mortgage Finance &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fannie Mae, Series S, 8.25% (b)(g)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,880</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Freddie Mac, Series Z, 8.38% (b)(g)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,420</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Wireless Telecommunication Services &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Centaur Funding Corp., 9.08% (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,720</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,144,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Preferred Stocks &#151; 4.3%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>4,613,031</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 19; Value: 75 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->19<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_20"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="text-align: center"></td>
    <TD></td>
    <TD STYLE="text-align: right"></td>
    <TD></td>
    <TD></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Trust Preferreds</font></b></td>
    <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</td>
    <TD STYLE="text-align: center; border-bottom: Black 2pt solid">
      <p><font style="color: #231f20"><b>Shares</b></font></p>
    </td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><b>Value</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>16,010</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&nbsp;&nbsp;&nbsp;&nbsp;$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>328,614</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>Total Trust Preferreds &#151; 0.3%</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>328,614</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><b><font color=#231f20>Total Preferred Securities &#151; 23.8%</font></b></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><font color=#231f20>25,819,856</font></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><b><font color=#231f20>Taxable Municipal Bonds</font></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Par<br>

(000<b><font color=#231f20>)</font></b></font></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Metropolitan Transportation Authority, RB,</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Build America Bonds, 6.55%, 11/15/31</font></td>
    <TD STYLE="text-align: center; border-bottom: #000000 1px solid"><font style="color: #231f20">USD</font></td>
    <TD STYLE="text-align: right; border-bottom: #000000 1px solid"><font style="color: #231f20"> 800</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>903,248</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><b><font color=#231f20>Total Taxable Municipal Bonds &#151; 0.8%</font></b></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><font color=#231f20>903,248</font></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid"><BR>
<b><font color=#231f20>US Government Sponsored</font></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Agency Securities</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Agency Obligations &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Fannie Mae, 4.23%, 10/09/19 (c)(h)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>390</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>294,830</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="BORDER-BOTTOM: #000000 2pt solid" align=left colspan=4><b><font color=#231f20>Total US Government Sponsored Agency Securities &#151; 0.3%</font></b></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><font color=#231f20>294,830</font></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><BR>
<B><FONT STYLE="color: #231f20">US Treasury Obligations</FONT></B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>US Treasury Notes, 2.13%, 8/15/21 (c)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>780</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>776,592</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>Total US Treasury Obligations &#151; 0.7%</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>776,592</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Long-Term Investments</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $151,118,071) &#151; 144.9%</font></b></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><font color=#231f20>157,284,431</font></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>


<tr valign=bottom>

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><BR>
<b><font color=#231f20>Short-Term Securities</font></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;<b></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Shares</font></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD COLSPAN="3" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: center"><B><FONT STYLE="color: #231f20">Value</FONT></B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BlackRock Liquidity Funds, TempFund,</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Institutional Class, 0.14% (i)(j)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,362,932</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,362,932</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Short-Term Securities</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $1,362,932) &#151; 1.3%</font></b></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><font color=#231f20>1,362,932</font></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><b><font color=#231f20>Options Purchased</font></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Notional <br>

Amount <br>

(000<b><font color=#231f20>)</font></b></font></b></td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</td>
    <TD STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Put Swaptions &#151; 0.0%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.50% and receive a floating rate</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 9/16/13, Broker</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Credit Suisse International</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>EUR </font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,300</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>26,527</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.50% and receive a floating rate</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 10/21/13,</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Broker Deutsche Bank AG</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,300</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>28,902</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Options Purchased</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>(Cost &#151; $66,622) &#151; 0.0%</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>55,429</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Investments Before Options Written</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $152,547,625*) &#151; 146.2%</font></b></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><font color=#231f20>158,702,792</font></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 2pt solid"><BR>
<B><FONT STYLE="color: #231f20">Options Written</FONT></B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Call Swaptions &#151; (0.2)%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.03% and receive a floating rate</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 4/16/12,</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Broker UBS AG</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; width: 10%"><font color=#231f20>USD </font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right; width: 10%"><font color=#231f20>1,800</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; width: 8%"><font color=#231f20>(255,028</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; width: 1%"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="text-align: center; width: 10%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 1%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 1%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Options Written</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Notional <br>

Amount<br>

(000<b><font color=#231f20>)</font></b></font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;<b><font color=#231f20></font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT STYLE="color: #231f20">Value</FONT></B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Put Swaptions &#151; (0.0)%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Receive a fixed rate of 4.03% and pay a floating rate</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 4/16/12,</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Broker UBS AG</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>USD </font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,800</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(2,881</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Options Written</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Premiums Received &#151; $129,600) &#151; (0.2)%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(257,909</font></td>
    <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Investments, Net of Options Written &#151; 146.0%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>158,444,883</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Liabilities in Excess of Other Assets &#151; (46.0)%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(49,915,746</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b><font color=#231f20>Net Assets &#151; 100.0%</font></b></td>
    <TD STYLE="padding-bottom: 2pt; text-align: center">&nbsp;&nbsp;</td>
    <TD STYLE="padding-bottom: 2pt; text-align: center">&nbsp;</td>
    <TD STYLE="padding-bottom: 2pt; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>108,529,137</font></td>
    <TD STYLE="text-align: left; border-bottom: Black 2pt solid">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 86%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 1%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aggregate cost</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>152,469,279</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized appreciation</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,163,076</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized depreciation</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(2,929,563</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net unrealized appreciation</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6,233,513</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(a)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(b)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Variable rate security. Rate shown is as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(c)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(d)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(e)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security is perpetual in nature and has no stated maturity
date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(f)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">When-issued security. Unsettled when-issued transactions
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="text-align: center; vertical-align: bottom">
    <TD STYLE="color: #231f20; font-weight: bold; border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">Counterparty</TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">Value</TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">Unrealized<BR> Appreciation</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 72%; color: #231f20; text-align: left">Barclays Capital, Inc.</TD>
    <TD STYLE="width: 14%; color: #231f20; text-align: center">$128,125</TD>
    <TD STYLE="width: 14%; color: #231f20; text-align: center">$3,125</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; border-bottom: Black 1pt solid">JPMorgan Chase Bank NA</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$&nbsp;&nbsp;70,350</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$&nbsp;&nbsp;&nbsp;350</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(g)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Non-income producing security.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(h)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(i)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="text-align: center; vertical-align: bottom">
    <TD STYLE="color: #231f20; font-weight: bold; border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">Affiliate</TD>
    <TD STYLE="color: #231f20; font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Shares<BR> Held at<BR> October 31,<BR> 2010</TD>
    <TD STYLE="color: #231f20; font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Net<BR> Activity</TD>
    <TD STYLE="color: #231f20; font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Shares<BR> Held at<BR> October 31,<BR> 2011</TD>
    <TD STYLE="color: #231f20; font-weight: bold; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Income</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left">BlackRock Liquidity</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="width: 52%; color: #231f20; text-align: left; text-indent: 6pt">Funds, TempFund,</TD>
    <TD STYLE="width: 12%; text-align: left"></TD>
    <TD STYLE="width: 12%; text-align: left"></TD>
    <TD STYLE="width: 12%; text-align: left"></TD>
    <TD STYLE="width: 12%; text-align: left"></TD></TR>
<TR STYLE="vertical-align: middle">
    <TD STYLE="color: #231f20; text-align: left; text-indent: 6pt; border-bottom: Black 1pt solid">Institutional Class</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">5,884,098</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">(4,521,166)</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">1,362,932</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$824</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(j)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents the current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For Fund compliance purposes, the Fund&#146;s industry
classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes
or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->20<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; width: 7%"></TD>
     <TD STYLE="text-align: center; width: 3%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD>
     <TD STYLE="text-align: center; width: 1%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD>
     <TD STYLE="text-align: center; width: 3%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Interest</FONT></B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Trade</FONT></B><BR>
<B>Date</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Maturity</FONT></B><BR>
<B>Date</B><B><SUP>1</SUP></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Net Closing</FONT></B><BR>
<B>Amount</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Face</FONT></B><BR>
<B>Amount</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>5/18/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,041,022</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,039,093</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.38</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>5/18/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,967,462</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,964,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.38</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>5/19/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>873,528</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>872,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>5/20/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,298,940</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,296,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>6/08/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,227,658</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,224,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.38</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>6/14/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,126,663</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,125,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>6/15/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,016,129</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,014,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.37</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>6/27/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>957,919</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>956,670</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.36</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/01/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>537,210</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>536,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/05/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,290,116</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,288,624</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/11/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>862,359</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>861,412</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.32</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/12/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>526,048</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>525,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.28</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/16/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>196,165</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>196,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/18/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>416,066</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>415,638</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/20/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,357,006</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,354,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/01/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>872,780</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>872,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.32</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/02/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>382,509</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>382,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities Corp.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.03</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/04/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>285,209</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>285,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/05/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>597,584</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>597,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities Corp.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.37</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/16/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,018,656</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,017,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities Corp.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.37</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/17/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>956,447</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>955,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/26/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>557,238</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>556,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/31/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,194,470</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,193,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/08/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,043,172</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,042,626</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/08/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>310,413</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>310,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.37</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/08/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>302,418</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>302,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/09/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>491,253</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>491,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/14/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,626,821</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,626,063</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/14/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>418,495</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>418,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/14/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>357,167</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>357,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS Securities LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.38</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/14/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,690,869</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,689,000</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; width: 7%"></TD>
     <TD STYLE="text-align: center; width: 3%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD>
     <TD STYLE="text-align: center; width: 1%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD>
     <TD STYLE="text-align: center; width: 3%"></TD>
     <TD STYLE="text-align: center; width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Interest</FONT></B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Trade</FONT></B><BR>
<B>Date</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Maturity</FONT></B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Net Closing</FONT></B><BR>
<B>Amount</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Face</FONT></B><BR>
<B>Amount</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/23/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>738,320</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>738,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/30/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>748,001</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>747,736</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>10/04/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>591,434</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>591,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>10/14/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,233,903</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,233,688</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.38</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>10/20/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>208,526</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>208,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>10/26/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,293,701</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,293,415</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities Corp.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>10/26/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,757,010</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,756,360</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities, Inc.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>10/26/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,955,546</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,955,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Securities</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>(USA) LLC</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>10/27/11</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,197,526</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,197,468</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Securities Corp.</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>0.08</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>10/31/11</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>Open</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>778,051</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>778,051</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="text-align: center; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="text-align: center; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>53,301,810</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>53,267,631</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Certain agreements have no stated maturity and can be
terminated by either party at anytime.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Financial futures contracts sold as of October 31, 2011
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr valign=bottom>

    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><font style="color: #231f20"><b>Contracts </b></font></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><font style="color: #231f20"><b>Issue</b></font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Exchange</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; text-indent: 6pt"><font style="color: #231f20"><b>Expiration</b></font></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><font style="color: #231f20"><b>Notional<br>
Value</b></font></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center">&nbsp;</td>
    <td colspan="3" style="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b>Unrealized<br>
       Appreciation<br>
       (Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right; width: 10%; padding-right: 12pt"><font color=#231f20>95</font></td>
    <TD STYLE="text-align: center; width: 19%"><font color=#231f20>Euro-Schatz</font></td>
    <TD STYLE="text-align: center; width: 19%"><font color=#231f20>Eurex</font></td>
    <TD STYLE="text-align: center; width: 19%"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: center; width: 19%; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 8%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: center; vertical-align: bottom"><font style="color: #231f20">EUR 10,421,025 </font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD>$</td>
    <TD STYLE="text-align: right"><font color=#231f20>&nbsp;&nbsp;(8,689</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>1</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>German Euro</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bund</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Mercantile</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: center; vertical-align: bottom"><font style="color: #231f20">EUR &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135,470</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(306</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>219</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10-Year US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Treasury Note</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: center; vertical-align: bottom"><font style="color: #231f20">USD 28,264,688</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>49,508</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>13</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Ultra US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="padding-bottom: 1pt; text-align: left; padding-right: 12pt; border-bottom: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><font color=#231f20>Treasury Bond</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><font style="color: #231f20">USD &nbsp;&nbsp;1,980,875</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>82,070</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left; padding-bottom: 2pt"></td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="text-align: center; padding-bottom: 2pt; vertical-align: bottom"><font color=#231f20></font></td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>122,583</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Foreign currency exchange contracts as of October 31,
2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 9%; padding-right: 12pt"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 25%; text-align: center"></TD>
     <TD STYLE="width: 25%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT color=#231f20>Currency</FONT></B><BR>
<B>Purchased</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Currency<BR>
Sold</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT color=#231f20>Settlement</FONT></B><BR>
<B>Date</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT STYLE="color: #231f20">Unrealized</FONT></B><BR> <B>Depreciation</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt"><FONT color=#231f20>342,375</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>249,000</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Citibank NA</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>1/25/12</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1,979</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 12pt"><FONT color=#231f20>33,064</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>24,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>Deutsche Bank AG</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>1/25/12</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(127</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="text-align: left; padding-bottom: 2pt; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</TD>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 2pt solid"><FONT color=#231f20>(2,106</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 21; Value: 75 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->21<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="text-align: left"></P><A name="page_22"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left; font-size: 10pt"><FONT color=#231f20>&#149; </FONT><FONT color=#231f20>Credit default swaps on single-name issues &#151; buy protection outstanding as of October 31, 2011 were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="width: 7%"></td>
    <TD STYLE="width: 5%"></td>
    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 20%; text-align: center"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Issuer</font></b></td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Pay</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000<b>)</b></b></td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20></font></b><b></b><b>Unrealized</b><br>

<b>Appreciation</b><br>

<b>(Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>225</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,272</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>270</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(212</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>General</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>JPMorgan</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Dynamics</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Chase</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>625</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,383</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Computer</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sciences Corp.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>275</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,295</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>General</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Dynamics</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>400</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,225</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>150</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(187</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dell, Inc.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank Plc</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>630</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(4,234</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Computer</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left; height: 13px"><font color=#231f20>Sciences Corp.</font></td>
    <TD STYLE="text-align: right; height: 13px"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left; height: 13px"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center; height: 13px"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center; height: 13px"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center; height: 13px"><font color=#231f20>USD </font><font color=#231f20>280</font></td>
    <TD STYLE="text-align: left; height: 13px">&nbsp;</td>
    <TD STYLE="text-align: right; height: 13px"><font color=#231f20>(5,686</font></td>
    <TD STYLE="text-align: left; height: 13px"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Lockheed</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Martin Corp.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>750</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>7,956</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>STMicroelectronics</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>NV</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>EUR  </font>&nbsp;285</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(348</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Goldman Sachs</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Airlines Co.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1.00 </font></td>
    <TD STYLE="text-align: left">%&nbsp;</td>
    <TD STYLE="text-align: center">Capital Markets LP&nbsp;&nbsp;</td>
    <TD STYLE="text-align: center">12/20/16</td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>280</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(66</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Royal Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Airlines Co.</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1.00</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>of Scotland Plc</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>USD </font><font color=#231f20>280</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1,272</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="text-align: left; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5,126</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left; font-size: 10pt"><FONT color=#231f20>&#149; </FONT><FONT color=#231f20>Credit default swaps on single-name issues &#151; sold protection outstanding as of October 31, 2011 were as follows:</FONT></P>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 34%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 4%"></TD>
     <TD STYLE="width: 14%; text-align: center"></TD>
    <TD STYLE="width: 9%; text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="width: 12%; text-align: center"></TD>
     <TD STYLE="width: 14%; text-align: center"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 1%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Issuer</FONT></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Pay</FONT></B><BR>
<B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><BR>
<B>Counterparty</B></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom"><FONT color=#231f20><B>Expiration<BR>
Date</b></font></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Issuer<BR>
     </B></FONT><B>Credit<BR></B> <B>Rating<SUP>1</SUP></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Notional</FONT></B><BR>
<B>Amount</B><BR>
<B>(000)</B><B><SUP>2</SUP></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Appreciation</B><BR>
<B>(Depreciation)</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Deutsche</FONT></TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviva USA Corp.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.00</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Bank AG</FONT></TD>
    <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>5/25/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>AA- </font></TD>
     <TD STYLE="text-align: center">USD 650</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Assured</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Guaranty Corp.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5.00</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Citibank NA</FONT></TD>
    <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>12/20/14</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>AA+ </font></TD>
     <TD STYLE="text-align: center">USD &nbsp;&nbsp;40</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(223</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Assured</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Guaranty Corp.</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5.00</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Citibank NA</FONT></TD>
    <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>3/20/15</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>AA+ </font></TD>
     <TD STYLE="text-align: center">USD 185</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>296</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>Deutsche</FONT></TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>MetLife, Inc.</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1.00</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>Bank AG</FONT></TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>3/20/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>A+ </font></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">USD 200</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(9,776</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(8,528</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using S&amp;P&#146;s rating.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on traded indexes &#151; buy protection
outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="20%"></TD>
     <TD width="9%"></TD>
     <TD width="6%"></TD>
     <TD WIDTH="18%" STYLE="text-align: center"></TD>
     <TD width="16%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT color=#231f20>Issuer</FONT></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT color=#231f20>Pay</FONT></B><BR>
<B>Fixed</B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT color=#231f20>Expiration</FONT></B><BR>
<B>Date</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B><FONT color=#231f20>Notional</FONT></B><BR>
<B>Amount</B><BR>
<B>(000)</B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><B>Unrealized</B><BR>
<B>Depreciation</B></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Dow Jones CDX</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD ALIGN="LEFT" STYLE="text-align: center">&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left><FONT color=#231f20>North America</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD ALIGN="LEFT" STYLE="text-align: center"><FONT color=#231f20>JPMorgan</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left><FONT color=#231f20>High Yield Index</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD ALIGN="LEFT" STYLE="text-align: center"><FONT color=#231f20>Chase</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left colSpan=2>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt; BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20>Series 17</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>5.00</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20>%</FONT></TD>
     <TD ALIGN="LEFT" STYLE="text-align: center; border-bottom: #000000 1px solid"><FONT color=#231f20>Bank &amp; Co.</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>12/20/16</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="color: #231f20">USD 1,050</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="color: #231f20">$(100,610)</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left; font-size: 10pt"><FONT color=#231f20>&#149; </FONT><FONT color=#231f20>Interest rate swaps outstanding as of October 31, 2011 were as follows:</FONT></P>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 17%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 24%"></TD>
     <TD STYLE="width: 15%; text-align: center"></TD>
     <TD STYLE="width: 9%; text-align: center"></TD>
     <TD STYLE="width: 7%; padding-right: 12pt"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 1%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Fixed</FONT></B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Floating</FONT></B><BR>
<B>Rate</B></TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Expiration</FONT></B><BR>
<B>Date</B></TD>
     <TD COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="color: #231f20"><B>Notional<BR> </B></FONT><B>Amount<BR> (000)</B></TD>
     <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B><FONT STYLE="color: #231f20">Unrealized</FONT></B><BR> <B>Appreciation</B><BR> <B>(Depreciation)</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>1.43%</FONT><SUP><FONT color=#231f20>(b)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/13/13</FONT></TD>
     <TD STYLE="text-align: center"><FONT STYLE="color: #231f20">EUR</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt">10,600</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(8,635</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>2.72%</FONT><SUP><FONT color=#231f20>(b)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>8/08/21</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt"><FONT color=#231f20>1,400</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>52,236</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>4.35%</FONT><SUP><FONT color=#231f20>(a)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>4/15/41</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(167,211</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>3.93%</FONT><SUP><FONT color=#231f20>(a)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Citibank NA</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>7/21/41</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt"><FONT color=#231f20>1,600</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(311,632</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>3.01%</FONT><SUP><FONT color=#231f20>(b)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/13/41</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,780</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>2.63%</FONT><SUP><FONT color=#231f20>(b)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>9/26/41</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(27,485</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>2.81%</FONT><SUP><FONT color=#231f20>(a)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD ALIGN="LEFT"><FONT STYLE="color: #231f20">Securities (USA) LLC </FONT></TD>
     <TD ALIGN="LEFT" STYLE="text-align: center"><FONT STYLE="color: #231f20">10/11/41</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 12pt"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,186</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>3.00%</FONT><SUP><FONT color=#231f20>(a)</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>3-month</FONT></TD>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Credit Suisse</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>LIBOR</FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: #000000 1px solid"><FONT STYLE="color: #231f20">Securities (USA) LLC </FONT></TD>
     <TD ALIGN="LEFT" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="color: #231f20">10/18/41</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 12pt"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1,882</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(449,643</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(a)&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fund pays a fixed interest rate and receives floating
rate.&nbsp;&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(b)&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fund pays a floating interest rate and receives fixed
rate.&nbsp;&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fair Value Measurements &#151; Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 1 &#151; unadjusted price quotations in active
markets/exchanges for identical assets and liabilities&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 2 &#151; other observable inputs (including, but
not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar
assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities
(such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other
market-corroborated inputs)&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 3 &#151; unobservable inputs based on the best
information available in the circumstances, to the extent observable inputs are not available (including the Fund&#146;s own assumptions
used in determining the fair value of investments and derivative financial instruments) &nbsp;</FONT></TD></TR></TABLE>
<P>Changes in valuation techniques may result
in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments
and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument
and does not necessarily correspond to the Fund&#146;s perceived risk of investing in those securities. For information about
the Fund&#146;s policy regarding valuation of investments and derivative financial instruments and other significant accounting
policies, please refer to Note 1 of the Notes to Financial Statements.</P>

<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>



<!-- Field: Page; Sequence: 22 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->22<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_23"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Fund&#146;s investments and derivative financial instruments:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Valuation Inputs</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Level 1</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font style="color: #231f20">Level 2</font></b></td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Level 3</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font style="color: #231f20">Total</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Assets:</font></b></td>
    <TD STYLE="text-align: right; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 12%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 12%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 12%">&nbsp;</td>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 12%">&nbsp;</td>
    <TD STYLE="width: 1%">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Long-Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Asset-Backed</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>493,571</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>503,750</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>997,321</font></td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Corporate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>127,634,584</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>858,000</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>128,492,584</font></td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Preferred</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>340,913</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>25,478,943</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>25,819,856</font></td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Taxable</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Municipal</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>903,248</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>903,248</font></td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>US Government</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sponsored</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Agency</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>294,830</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>294,830</font></td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>US Treasury</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Obligations</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>776,592</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>776,592</font></td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Short-Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,362,932</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,362,932</font></td>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,703,845</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>155,581,768</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,361,750</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>158,647,363</font></td>
    <TD STYLE="border-bottom: Black 2pt solid">&nbsp;&nbsp;</td>
  </tr>

<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center"></TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Valuation Inputs</FONT></B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 1</FONT></B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 2</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 3</FONT></B></TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Total</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=4><FONT color=#231f20>Derivative Financial Instruments</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interest rate</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>131,578</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>122,631</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>254,209</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17,427</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,175</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>18,602</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Liabilities:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interest rate</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(8,995</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(774,754</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(783,749</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Foreign currency</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>exchange</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,106</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,106</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(122,614</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(122,614</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>122,583</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(759,416</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,175</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(635,658</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 3%; text-align: right"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 4%"></TD>
     <TD STYLE="width: 1%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 4%; text-align: right"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Asset-Backed</FONT></B><BR>
<B>Securities</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Corporate</FONT></B><BR>
<B>Bonds</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Total</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(52,364</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>33,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(19,364</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>556,114</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>825,000</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,381,114</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>503,750</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>858,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,361,750</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The net change in unrealized appreciation/depreciation on investments still held at October 31,
2011 was $(19,364).&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; width: 1%"></TD>
     <TD STYLE="text-align: center; width: 8%"></TD>
     <TD STYLE="text-align: center; width: 1%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B>Credit</B><BR>
<B>Contracts</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,984</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Issuances</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,440</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Settlements</FONT><SUP><FONT color=#231f20>6</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(5,424</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; border-top: Black 1pt solid"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; border-top: Black 1pt solid"><FONT color=#231f20>1,175</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $1,175.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Issuances represent upfront cash received on certain
derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>6&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<P STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt"><FONT STYLE="color: #231f20">A
reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount
of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.&nbsp;&nbsp;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 23; Value: 75 -->
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<P STYLE="text-align: left"></P><A name="page_24"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT STYLE="color: #394c87">Schedule
                                    of Investments </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Asset-Backed Securities</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000<B>)</B></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>&nbsp;</FONT></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Atrium CDO Corp., Series 5A, Class A4,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.69%, 7/20/20 (a)(b)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,053,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SLM Student Loan Trust, Series 2004-B, Class A2,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>0.55%, 6/15/21 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,170</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,077,112</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><B><FONT color=#231f20>Total Asset-Backed Securities &#151; 0.9%</FONT></B></TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><FONT color=#231f20>4,130,862</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="6" STYLE="text-align: left; border-top: rgb(57,76,135) 4pt solid; border-bottom: Black 1pt solid; color: rgb(57,76,135)"><BR>
<B><FONT STYLE="color: #231f20">Corporate Bonds</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Aerospace &amp; Defense &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BE Aerospace, Inc., 8.50%, 7/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,731,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bombardier, Inc., 7.75%, 3/15/20 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,205</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,525,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Huntington Ingalls Industries, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>610</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>614,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>607,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kratos Defense &amp; Security Solutions, Inc.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>10.00%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,014</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,049,490</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,528,315</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Airlines &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Airlines Pass-Through Trust:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Series 2011-1, Class A, 5.25%, 7/31/22</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,408</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,281,203</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Series 2011-2, Class A, 8.63%, 4/15/23</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>570</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>570,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Continental Airlines Pass-Through Certificates,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Series 2009-2, Class B, 9.25%, 5/10/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,453</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,493,424</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,146</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,131,963</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,476,590</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Auto Components &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Daimler Finance North America LLC, 2.63%, 9/15/16 (a)(c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,425</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,404,015</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Delphi Corp., 6.13%, 5/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>570</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>581,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Icahn Enterprises LP:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.75%, 1/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>880</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>902,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.00%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,035,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,922,415</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Beverages &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Constellation Brands, Inc., 7.25%, 5/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,970</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,167,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Building Products &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Building Materials Corp. of America (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>397,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 5/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,160</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,203,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,601,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 5.5%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,541,723</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>E*Trade Financial Corp., 12.50%, 11/30/17 (d)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,865</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,149,412</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Goldman Sachs Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.25%, 7/27/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,927,272</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.25%, 2/01/41 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,588,871</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,745</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,709,072</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Morgan Stanley (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.75%, 1/25/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,915</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,866,427</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.50%, 7/28/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,910</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,865,560</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS AG:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>2.25%, 1/28/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,627</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,621,268</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.88%, 7/15/16 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,892,512</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>25,162,117</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Chemicals &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ashland, Inc., 9.13%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>505</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>564,338</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Celanese US Holdings LLC, 5.88%, 6/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,545</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,641,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lyondell Chemical Co., 11.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,392,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Solutia, Inc., 7.88%, 3/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>860</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>920,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,518,288</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 4.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Amsouth Bank, Series AI, 4.85%, 4/01/13</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,050</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,010,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>956,833</FONT></TD></TR>                                                                               <TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD></TR>

<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000<B>)</B></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>&nbsp;</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks (concluded)</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Associated Banc-Corp, 5.13%, 3/28/16</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,269,958</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas, 3.60%, 2/23/16 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>998</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>995,203</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Branch Banking &amp; Trust Co. (b)(c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>0.66%, 9/13/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,019,176</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>0.60%, 5/23/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>612,830</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>260</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>260,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,570</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,566,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,263</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,263,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>349,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>City National Corp., 5.25%, 9/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,395,733</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Discover Bank, 8.70%, 11/18/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,357,248</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,750,235</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Regions Financial Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.88%, 4/26/13</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,461,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,732,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SVB Financial Group, 5.38%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,373,490</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>22,373,906</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Services &amp; Supplies &#151; 3.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviation Capital Group Corp. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 10/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,001,917</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 4/06/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,238,766</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Casella Waste Systems, Inc., 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>721</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>692,160</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Clean Harbors, Inc., 7.63%, 8/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,314</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,389,555</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Corrections Corp. of America, 7.75%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,653,438</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Iron Mountain, Inc., 7.75%, 10/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>404,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Mobile Mini, Inc., 7.88%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>275,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>17,655,461</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Communications Equipment &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avaya, Inc., 9.75%, 11/01/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>796,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,965</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,105,838</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>EH Holding Corp., 6.50%, 6/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>420</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>429,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,331,788</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Consumer Finance &#151; 4.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Express Credit Corp., 2.75%, 9/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,922,920</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capital One Bank USA NA, 8.80%, 7/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,949,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ford Motor Credit Co., LLC, 7.00%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,580</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,812,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,815</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,942,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SLM Corp., 6.25%, 1/25/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,870</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,870,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>19,496,645</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Containers &amp; Packaging &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ball Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,894,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,210</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,381,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>866,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>665</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>726,512</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Rock-Tenn Co., 9.25%, 3/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>345,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sealed Air Corp., 8.38%, 9/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>130</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>140,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,354,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 7.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ally Financial, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.50%, 2/11/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,735,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.30%, 2/12/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,291,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.00%, 11/01/31</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,620</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,615,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bank of America Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.30%, 3/15/17 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,640</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,480,892</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.00%, 5/13/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>50</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>46,946</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Citigroup, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.38%, 8/12/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,403,407</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.59%, 12/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>975</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,018,696</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>890</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>954,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,895,610</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>504,576</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ING Bank NV, 5.00%, 6/09/21 (a)(c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,412,087</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 24 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->24<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_25"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000<B>)</B></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;<B><FONT color=#231f20></FONT></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intesa Sanpaolo SpA (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>2.38%, 12/21/12</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,408,608</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 2/24/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>553,624</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>JPMorgan Chase &amp; Co., 3.15%, 7/05/16 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,081,915</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Moody&#146;s Corp., 6.06%, 9/07/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,342,174</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reynolds Group Issuer, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>245</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>249,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.88%, 8/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>870</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>909,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>215</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>217,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.25%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>485</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>444,988</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>WMG Acquisition Corp., 9.50%, 6/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>205</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>217,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>35,784,060</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Telecommunication Services &#151; 5.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AT&amp;T, Inc., 6.30%, 1/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,806,916</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>France Telecom SA, 4.13%, 9/14/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>695,404</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.75%, 2/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>690,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.13%, 7/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,489</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,464,110</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Qwest Corp., 8.38%, 5/01/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,795</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,193,287</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Telecom Italia Capital SA, 6.18%, 6/18/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>975</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>990,404</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Telefonica Emisiones SAU, 5.46%, 2/16/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,360</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,378,365</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verizon Communications, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>1.95%, 3/28/14 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,748,189</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.35%, 4/01/39</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,556,339</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Windstream Corp., 7.88%, 11/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,242,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>24,765,202</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Electric Utilities &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Progress Energy, Inc., 7.00%, 10/30/31 (c)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,245,584</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><B><FONT color=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Jabil Circuit, Inc., 8.25%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>928,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NXP BV, 3.15%, 10/15/13 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,891,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,819,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Energy Equipment &amp; Services &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ensco Plc, 4.70%, 3/15/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,965</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,067,565</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Frac Tech Services LLC, 7.63%, 11/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,085</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,133,825</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Key Energy Services, Inc., 6.75%, 3/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>745</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>761,763</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>955</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>995,587</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Oil States International, Inc., 6.50%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>505</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>528,988</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SunCoke Energy, Inc., 7.63%, 8/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>191,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,679,628</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food &amp; Staples Retailing &#151; 2.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CVS Caremark Corp., 6.30%, 6/01/62 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,545,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Wal-Mart Stores, Inc. (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.25%, 9/01/35</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,913,065</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.20%, 4/15/38</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,400,764</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,858,891</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food Products &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kraft Foods, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 8/11/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,665</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,990,176</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.13%, 8/23/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,660</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,975,415</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>374</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>434,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,400,366</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Gas Utilities &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>495</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>488,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Equipment &amp; Supplies &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,542,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Teleflex, Inc., 6.88%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>490</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>507,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,049,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Providers &amp; Services &#151; 4.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aetna, Inc., 6.75%, 12/15/37 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,163,106</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviv Healthcare Properties LP, 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>460</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>443,900</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20><B><FONT color=#231f20>Par</FONT></B><BR>
(000<B><FONT color=#231f20>)</FONT></B></FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;<B><FONT color=#231f20></FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Providers &amp; Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12pt; vertical-align: bottom"><FONT color=#231f20>8.50%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>264,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12pt; vertical-align: bottom"><FONT color=#231f20>6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,380</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,493,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12pt; vertical-align: bottom"><FONT color=#231f20>7.25%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,435</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,679,744</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 12pt; vertical-align: bottom"><FONT color=#231f20>7.50%, 2/15/22</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,020</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,060,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>INC Research LLC, 11.50%, 7/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>695</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>625,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>inVentiv Health, Inc., 10.00%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>510</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>489,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Tenet Healthcare Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>10.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,530</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,755,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>8.88%, 7/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,271,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UnitedHealth Group, Inc., 6.88%, 2/15/38</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,483,430</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>19,729,655</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Household Durables &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,462</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,158,635</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AES Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>9.75%, 4/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>985</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,117,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 12pt"><FONT color=#231f20>7.38%, 7/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>347,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Calpine Construction Finance Co. LP, 8.00%,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 6pt"><FONT color=#231f20>6/01/16 <FONT color=#231f20>(a)</FONT></FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>535</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>569,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>440</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>457,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy Future Intermediate Holding Co., LLC,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 6pt"><FONT color=#231f20>10.00%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,745</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,832,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NRG Energy, Inc., 7.38%, 1/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,710</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,780,537</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,105,887</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Insurance &#151; 8.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Allianz Finance II BV, 5.75%, 7/08/41 (b)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>867,169</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Allstate Corp., 7.45%, 5/16/19 (c)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,963,757</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American International Group, Inc.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 6pt"><FONT color=#231f20>6.40%, 12/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,690</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,770,017</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aon Corp., 5.00%, 9/30/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,041,016</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,638,549</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,015,846</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Genworth Financial, Inc., 7.63%, 9/24/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>970</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>876,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Manulife Financial Corp., 4.90%, 9/17/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,827,379</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>430</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>369,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Muenchener Rueckversicherungs AG,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 6pt"><FONT color=#231f20>6.00%, 5/26/41 (b)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>399,239</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Northwestern Mutual Life Insurance,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; padding-left: 6pt"><FONT color=#231f20>6.06%, 3/30/40 (a)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,453,520</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>980</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,241,662</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Prudential Financial, Inc., 6.63%, 12/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,042,855</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>XL Group Ltd., 5.75%, 10/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,430</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,616,602</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>38,124,223</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>IT Services &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>720</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>673,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>First Data Corp. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>7.38%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>717,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>8.25%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>85,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>12.63%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>905</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>855,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SunGard Data Systems, Inc., 7.38%, 11/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>970</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>991,825</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,323,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Life Sciences Tools &amp; Services &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,169,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Life Technologies Corp., 6.00%, 3/01/20 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,681,072</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,850,322</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Machinery &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Ingersoll-Rand Global Holding Co. Ltd., 9.50%, 4/15/14 (c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,996,829</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Navistar International Corp., 8.25%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>931</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,012,463</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,009,292</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 25; Value: 75 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->25<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_26"></A><BR> <TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE>
<BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT STYLE="color: #231f20">Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#394c87><B>Media &#151; 9.3%</B></font></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>395</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>428,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,317</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,670,342</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cengage Learning Acquisitions, Inc.,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>10.50%, 1/15/15 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>553,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Comcast Corp., 6.30%, 11/15/17 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,017,022</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,754,193</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CSC Holdings LLC:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt; vertical-align: bottom"><FONT color=#231f20>8.50%, 4/15/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>680</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>746,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt; vertical-align: bottom"><FONT color=#231f20>8.50%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,627,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt; vertical-align: bottom"><FONT color=#231f20>8.63%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,362,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DIRECTV Holdings LLC, 5.00%, 3/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,818,822</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DISH DBS Corp., 7.00%, 10/01/13</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,850,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Luxembourg SA (d):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>11.50%, 2/04/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>140</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>140,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>11.50%, 2/04/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,345,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,040</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,081,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>News America, Inc., 6.15%, 3/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,612,528</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,050</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,922,759</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner, Inc., 7.70%, 5/01/32</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,403,968</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Germany GmbH), 8.13%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,030</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,096,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,882,312</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>42,713,871</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Metals &amp; Mining &#151; 2.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alcoa, Inc., 5.40%, 4/15/21 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,455</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,432,561</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barrick Gold Corp., 2.90%, 5/30/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,194,001</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Barrick North America Finance LLC, 5.70%, 5/30/41</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,539,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>FMG Resources August 2006 Property Ltd. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>6.88%, 2/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>235</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>8.25%, 11/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>191,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,369,641</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Novelis, Inc., 8.75%, 12/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>975</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,062,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Teck Resources Ltd., 10.75%, 5/15/19 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,161,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,177,678</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><B><FONT color=#394c87>Multi-Utilities &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CenterPoint Energy, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>5.95%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,547,177</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>6.50%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,902,881</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,450,058</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Multiline Retail &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>JC Penney Co., Inc., 5.65%, 6/01/20</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,300</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,937,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 13.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alpha Natural Resources, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>6.00%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>255</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>253,088</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>6.25%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>705</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>696,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Anadarko Petroleum Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>5.95%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>994</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,142,322</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>6.38%, 9/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>27,065</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Arch Coal, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>7.00%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>220</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>227,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>7.25%, 6/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>720</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>741,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BP Capital Markets Plc (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>3.88%, 3/10/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,605,862</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>3.20%, 3/11/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,875</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,969,978</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Buckeye Partners LP, 4.88%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,053,169</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,445</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,608,637</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>595</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>270</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>277,425</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>447,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Copano Energy LLC, 7.13%, 4/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>560</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>572,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DCP Midstream LLC, 4.75%, 9/30/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,252,478</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Denbury Resources, Inc., 6.38%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>592,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Corp., 7.00%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,430</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,601,600</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Pipeline Partners Operating Co., LLC,</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.00%, 10/01/21</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>538,374</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enbridge Energy Partners LP, 9.88%, 3/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,812,517</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,035,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enterprise Products Operating LLC, 6.65%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,940,636</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Forest Oil Corp., 8.50%, 2/15/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,339,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Hilcorp Energy I LP, 7.75%, 11/01/15 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>710</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>728,389</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,018,605</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Linn Energy LLC, 7.75%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>955</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,019,463</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,410,545</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MarkWest Energy Partners LP, 6.25%, 6/15/22 (e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>530</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>543,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Newfield Exploration Co., 5.75%, 1/30/22</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>495</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>524,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Oasis Petroleum, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 2/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>340</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>358,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 11/01/21 (e)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>305</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>306,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>OGX Petroleo e Gas Participacoes SA, 8.50%, 6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,188,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ONEOK Partners LP, 8.63%, 3/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,396,220</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrobras International Finance Co., 3.88%, 1/27/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,811,796</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrohawk Energy Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.50%, 8/01/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>615</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>689,569</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.25%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>715</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>807,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pioneer Natural Resources Co.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.65%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>705,933</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>490</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>529,845</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Plains Exploration &amp; Production Co.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>785</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>814,438</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.00%, 3/01/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>405</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>449,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Precision Drilling Corp., 6.50%, 12/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>425</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>448,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Premier Oil, 5.00%, 6/09/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,536,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Range Resources Corp., 6.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>855</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>949,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>720</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>694,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SM Energy Co., 6.63%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>220</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>222,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Western Gas Partners LP, 5.38%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,621,746</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Williams Cos., Inc., 8.75%, 3/15/32</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,565,715</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>59,678,003</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Paper &amp; Forest Products &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Boise Paper Holdings LLC, 8.00%, 4/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>645</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>678,862</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,770,053</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>International Paper Co.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.50%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,040,819</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.30%, 11/15/39</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,964,584</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Longview Fibre Paper &amp; Packaging, Inc., 8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>330</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>334,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verso Paper Holdings LLC, 11.50%, 7/01/14</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>355</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>372,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>13,162,018</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Pharmaceuticals &#151; 7.5%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,214</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,812,814</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>423,412</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,799,629</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Merck &amp; Co., Inc. (c):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 12/01/33</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,070</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,831,129</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.55%, 9/15/37</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,572</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,364,956</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pfizer, Inc., 7.20%, 3/15/39 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,335,337</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Valeant Pharmaceuticals International, 6.50%, 7/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Watson Pharmaceuticals, Inc., 6.13%, 8/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,423,930</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>34,241,207</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.8%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AvalonBay Communities, Inc., 6.10%, 3/15/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,857,994</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Developers Diversified Realty Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>645</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>606,981</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.88%, 9/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>838,861</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ERP Operating LP, 5.75%, 6/15/17 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,405</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,805,363</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCP, Inc., 5.38%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,052,710</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UDR, Inc., 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,516,731</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,135</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,111,449</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,790,089</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 26 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->26<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_27"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Management &amp; Development &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Realogy Corp., 7.88%, 2/15/19 (a)</FONT></TD>
     <TD ALIGN="LEFT" STYLE="text-align: center"><FONT STYLE="color: #231f20">USD </FONT></TD>
     <TD ALIGN="LEFT" STYLE="text-align: right"><FONT STYLE="color: #231f20">570</FONT></TD>
     <TD ALIGN="LEFT" STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>513,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Shea Homes LP, 8.63%, 5/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>480</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>434,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>947,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Road &amp; Rail &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>435</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>433,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Florida East Coast Railway Corp., 8.13%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Hertz Corp., 6.75%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>933</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>951,660</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,783,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,368,922</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><B><FONT color=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>786,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>KLA-Tencor Corp., 6.90%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,928</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,194,802</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,981,427</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AutoNation, Inc., 6.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,965</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,038,688</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Best Buy Co., Inc., 5.50%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>525,727</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Limited Brands, Inc., 7.00%, 5/01/20</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>980</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,043,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>QVC, Inc., 7.38%, 10/15/20 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>105</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>114,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>VF Corp., 5.95%, 11/01/17</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,746,736</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,469,301</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Tobacco &#151; 2.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Altria Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt; vertical-align: bottom"><FONT color=#231f20>9.25%, 8/06/19</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>485</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>644,737</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt; vertical-align: bottom"><FONT color=#231f20>10.20%, 2/06/39</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,929</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,069,649</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lorillard Tobacco Co., 3.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,459,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,173,894</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Wireless Telecommunication Services &#151; 3.6%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>America Movil SAB de CV, 2.38%, 9/08/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,670,701</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Tower Corp.:</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>4.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,925</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,979,951</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>5.90%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,295</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,431,287</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cricket Communications, Inc., 7.75%, 5/15/16</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>670</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>695,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle International Corp., 9.00%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>890</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>970,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle Towers LLC (a):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>5.50%, 1/15/37</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,279,864</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.11%, 1/15/40</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,436,491</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>840</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>829,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,603,138</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sprint Capital Corp., 6.88%, 11/15/28</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>343,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>16,430,207</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><B><FONT color=#231f20>Total Corporate Bonds &#151; 115.5%</FONT></B></TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><FONT color=#231f20>530,502,508</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="6" STYLE="border-bottom: Black 2pt solid; text-align: left; border-top: rgb(57,76,135) 4pt solid"><BR><B><FONT STYLE="color: #231f20">Preferred Securities</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Capital Trusts</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 4.0%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ameriprise Financial, Inc., 7.52%, 6/01/66 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,525,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust III, 5.34% (b)(f)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,920</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,924,964</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust IV, 1.35%, 6/01/37 (b)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>18,235</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,772,159</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>18,222,123</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 5.4%</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays Bank Plc, 7.43% (a)(b)(c)(f)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>607,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas, 7.20% (a)(b)(c)(f)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,237,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Agricole SA (a)(b)(c)(f):</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>6.64<FONT color=#231f20>%</FONT></FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>996,363</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: middle; text-indent: 12pt"><FONT color=#231f20>8.38<FONT color=#231f20>%</FONT></FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,298,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</FONT></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,747,200</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD></TR>
<tr>

    <TD></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 1%"></td>
    <TD STYLE="width: 8%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><b><font color=#231f20>Capital Trusts</font></b></td>
    <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</td>
    <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Par</font></b><br>

<b>(000</b><b>)</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 2pt solid">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b>Value</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Commercial Banks (concluded)</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>HSBC Capital Funding LP/Jersey Channel Islands,</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>10.18% (a)(b)(c)(f)</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">USD </font></td>
    <TD STYLE="text-align: right"><font style="color: #231f20">4,835</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,055,837</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>M&amp;T Capital Trust II, 8.28%, 6/01/27</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,630</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,666,358</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>National City Preferred Capital Trust I, 12.00% (b)(f)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,100</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,141,426</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>NationsBank Capital Trust III, 0.95%, 1/15/27 (b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>13,470</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>8,021,708</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>24,772,142</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 1.7%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>ING Capital Funding Trust III, 3.97% (b)(f)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,800</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,525,003</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)(c)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>8,775</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>6,058,365</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>7,583,368</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Electric Utilities &#151; 0.6%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>PPL Capital Funding, 6.70%, 3/30/67 (b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,000</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,895,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Insurance &#151; 8.6%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Ace Capital Trust II, 9.70%, 4/01/30</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,244,830</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>The Allstate Corp., 6.50%, 5/15/67 (b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,656,250</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>American General Capital II, 8.50%, 7/01/30</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>100</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>98,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>American International Group, Inc., 8.18%, 5/15/68 (b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>868,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Aon Corp., 8.21%, 1/01/27</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,911,810</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>AXA SA, 6.38% (a)(b)(f)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,242,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Bank One Capital III, 8.75%, 9/01/30 (c)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,437,998</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Chubb Corp., 6.38%, 3/29/67 (b)(c)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,010,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Farmers Exchange Capital, 7.05%, 7/15/28 (a)(c)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,710,765</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,925</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,553,875</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Lincoln National Corp., 7.00%, 5/17/66 (b)(c)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,350</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,149,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>MetLife, Inc., 6.40%, 12/15/66</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,325</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,266,274</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Principal Life Insurance Co., 8.00%, 3/01/44 (a)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,136,742</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Reinsurance Group of America, 6.75%, 12/15/65 (b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,603,487</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Swiss Re Solutions Holding Corp., 7.75%, 6/15/30 (c)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,267,248</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>379</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>367,630</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>39,524,909</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Multi-Utilities &#151; 1.5%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dominion Resources Capital Trust I, 7.83%, 12/01/27</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,520,288</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dominion Resources, Inc., 7.50%, 6/30/66 (b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>4,095,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>6,615,288</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 1.3%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,070,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>4,076,696</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>6,146,696</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Road &amp; Rail &#151; 0.8%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>BNSF Funding Trust I, 6.61%, 12/15/55 (b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,750</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,810,938</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left"><b><font color=#231f20>Total Capital Trusts &#151; 23.9%</font></b></td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 2pt solid; text-align: right"><font color=#231f20>109,570,464</font></td>
  </tr>


  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; border-top: rgb(57,76,135) 4pt solid"><BR>
<b><font color=#231f20>Preferred Stocks</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center; border-top: rgb(57,76,135) 4pt solid"><FONT STYLE="color: #231f20"><B>Shares</B></FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Auto Components &#151; 0.1%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Dana Holding Corp., 4.00% (a)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>4,000</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>495,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Commercial Banks &#151; 0.2%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>SG Preferred Capital II, 6.30% (a)(b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,000</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,004,687</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Ally Financial, Inc., 7.00% (a)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,880</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,402,069</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Thrifts &amp; Mortgage Finance &#151; 0.0%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Fannie Mae, Series S, 8.25% (b)(g)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>14,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>27,440</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Freddie Mac, Series Z, 8.38% (b)(g)</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>14,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>29,960</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>57,400</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Wireless Telecommunication Services &#151; 0.6%</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Centaur Funding Corp., 9.08% (a)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,423</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,800,837</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Preferred Stocks &#151; 1.2%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5,759,993</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

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

<!-- Field: Page; Sequence: 27; Value: 75 -->
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->



<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 68%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="text-align: center; width: 10%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 10%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Trust Preferreds</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Shares</font></b></td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Value</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>66,410</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,363,099</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>Total Trust Preferreds &#151; 0.3%</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,363,099</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Preferred Securities &#151; 25.4%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>116,693,556</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan="6" style="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Taxable Municipal Bonds</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Par</font></b><br>

<b>(000</b><b>)</b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Metropolitan Transportation Authority, RB, Build</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>America Bonds, 6.55%, 11/15/31</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20> 3,450</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,895,257</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Taxable Municipal Bonds &#151; 0.8%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3,895,257</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>US Government Sponsored Agency Securities</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Agency Obligations &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Fannie Mae, 4.23%, 10/09/19 (c)(h)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,670</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,262,477</font></td>
  </tr>

  <tr valign=bottom>

    <td colspan="4" style="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total US Government Sponsored Agency Securities &#151; 0.3%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,262,477</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>US Treasury Obligations</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>US Treasury Bonds, 4.75%, 2/15/41 (c)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,670</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,471,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>US Treasury Notes, 1.00%, 9/30/16 (c)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,450</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,451,015</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>Total US Treasury Obligations &#151; 1.1%</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>4,922,015</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Long-Term Investments</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $641,902,640) &#151; 144.0%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>661,406,675</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Short-Term Securities</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Shares</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BlackRock Liquidity Funds, TempFund,</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Institutional Class, 0.14% (i)(j)</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>405,708</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>405,708</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Short-Term Securities</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $405,708) &#151; 0.1%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>405,708</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Options Purchased</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000</b><b>)</b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Put Swaptions &#151; 0.0%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.50% and receive a floating rate</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 9/16/13, Broker</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Credit Suisse International</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>EUR</font></td>
    <TD STYLE="text-align: right"><font color=#231f20> 5,300</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>108,147</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.50% and receive a floating rate</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 10/21/13, Broker</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>111,161</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>219,308</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Options Purchased</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>(Cost &#151; $264,170) &#151; 0.0%</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>219,308</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Investments Before Options Written</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $642,572,518*) &#151; 144.1%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>662,031,691</font></td>
  </tr>
</table><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 71%"></td>
    <TD STYLE="width: 5%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Options Written</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center; border-bottom: Black 2pt solid"><b>Notional</b><br>

<b>Amount</b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Value</font></b></td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Call Swaptions &#151; (0.2)%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.03% and receive a floating rate</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 4/16/12,</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Broker UBS AG</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20> 7,700</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1,090,952</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Put Swaptions &#151; (0.0)%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Receive a fixed rate of 4.03% and pay a floating rate</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 4/16/12, Broker</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>UBS AG</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>7,700</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(12,325</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Options Written</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Premiums Received &#151; $554,400) &#151; (0.2)%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(1,103,277</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Investments, Net of Options Written &#151; 143.9%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>660,928,414</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Liabilities in Excess of Other Assets &#151; (43.9)%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(201,649,692</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Net Assets &#151; 100.0%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>459,278,722</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD STYLE="text-align: left"><FONT STYLE="color: #231f20">The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 86%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt"><FONT color=#231f20>Aggregate cost</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>642,431,656</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized appreciation</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>36,903,817</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized depreciation</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(17,303,782</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-bottom: 2pt"><FONT color=#231f20>Net unrealized appreciation</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>19,600,035</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(a)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(b)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Variable rate security. Rate shown is as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(c)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(d)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(e)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">When-issued security. Unsettled when-issued transactions
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 72%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 12%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 12%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT STYLE="color: #231f20">Value</FONT></B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Unrealized</B><BR>
<B>Appreciation</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>543,250</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>JPMorgan Chase Bank NA</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>306,525</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,525</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(f)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security is perpetual in nature and has no stated maturity
date.&nbsp;</FONT></TD></TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(g)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Non-income producing security.&nbsp;&nbsp;</FONT></TD></TR></TABLE>


<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(h)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(i)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 20%"></TD>
     <TD STYLE="width: 20%"></TD>
     <TD STYLE="width: 20%"></TD>
     <TD STYLE="width: 20%"></TD>
     <TD STYLE="width: 20%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Affiliate</FONT></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Shares</FONT></B><BR>
<B>Held at</B><BR>
<B>October 31,</B><BR>
<B>2010</B></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Net</FONT></B><BR>
<B>Activity</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Shares</FONT></B><BR>
<B>Held at</B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B>Income</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BlackRock Liquidity</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Funds, TempFund,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Institutional Class</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>1,483,567</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>(1,077,859)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>405,708</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>$5,540</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(j)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents the current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For Fund compliance purposes, the Fund&#146;s industry
classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes
or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 28; Options: NewSection; Value: 28 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->28<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_29"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 19%"></td>
    <TD STYLE="width: 13%; text-align: center"></td>
    <TD STYLE="width: 16%; text-align: center"></td>
    <TD STYLE="width: 19%; text-align: center"></td>
    <TD STYLE="width: 3%"></td>
    <TD STYLE="width: 14%; text-align: right"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 14%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Interest</font></b><br>

<b>Rate</b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20><b><font color=#231f20>Trade</font></b> <br>

Date</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Maturity<br>

Date</font></b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Closing</font></b><br>

<b>Amount</b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Face</font></b><br>

<b>Amount</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5/18/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>12,935,169</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>12,912,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5/19/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>4,646,054</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,637,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5/19/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>2,183,820</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,180,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5/20/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,398,407</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,392,188</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays Capital Inc. </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5/31/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>2,048,499</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,045,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>6/01/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>6,953,547</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,943,219</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>6/08/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>4,836,856</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,830,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>6/14/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>6,404,450</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,395,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>6/15/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>9,065,464</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>9,051,999</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>6/20/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,920,339</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,917,840</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.37%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>6/22/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,536,166</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,531,375</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.37%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>6/27/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,849,286</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,846,875</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/05/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,612,645</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,610,781</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/11/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>2,408,543</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,405,900</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.32%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/12/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>2,247,660</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,245,425</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.28%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/13/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>588,508</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>588,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/20/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>9,139,106</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>9,129,875</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.17%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/29/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>2,971,708</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,970,375</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/01/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,711,633</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,706,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/03/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,624,969</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,621,800</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.09%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/05/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,227,720</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,227,450</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/16/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,863,394</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,862,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.39%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/17/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,483,220</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,482,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/18/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,912,851</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,910,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/26/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>2,401,501</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,399,938</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/30/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>4,528,272</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,525,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/31/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>4,777,878</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,775,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/01/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>17,070,843</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>17,060,725</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/01/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>36,121,583</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>36,100,174</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/09/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>7,104,147</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>7,100,489</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/12/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>2,087,825</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,086,750</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/12/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,980,210</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,978,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,820,743</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,820,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays Capital Inc. </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/23/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,160,932</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,159,563</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays Capital Inc. </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/30/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,171,065</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,169,938</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 19%"></td>
    <TD STYLE="width: 7%"></td>
    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 16%; text-align: center"></td>
    <TD STYLE="width: 19%; text-align: center"></td>
    <TD STYLE="width: 4%"></td>
    <TD STYLE="width: 13%"></td>
    <TD STYLE="width: 4%; text-align: right"></td>
    <TD STYLE="width: 11%"></td>
    <TD STYLE="width: 1%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Interest</font></b><br>

<b>Rate</b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20><b><font color=#231f20>Trade</font></b> <br>

Date</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>&nbsp;Maturity<br>

Date</font></b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Closing</font></b><br>

<b>Amount</b></td>
    <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Face</font></b><br>

<b>Amount</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.40</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/04/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,957,170</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,956,250</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.35</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/06/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>509,566</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>509,438</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.35</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/12/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,991,637</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,991,250</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc</font>.</td>
    <TD STYLE="text-align: right"><font color=#231f20>0.35</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/12/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,600,894</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,600,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.35</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/14/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>7,464,694</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>7,463,388</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.38</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/20/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,042,632</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,042,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.35</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/27/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,618,566</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,618,487</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.40</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/27/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,838,587</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,838,262</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>0.39</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/27/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,529,858</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,529,774</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(0.70</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>%)</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/31/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,449,972</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,450,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.38</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>10/31/11</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,415,366</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,415,185</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>213,213,955</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>213,033,213</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Certain agreements have no stated maturity and can be
terminated by either party at anytime.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Financial futures contracts sold as of October 31, 2011
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 9%; text-align: center"></td>
    <TD STYLE="width: 19%; text-align: center"></td>
    <TD STYLE="width: 20%; text-align: center"></td>
    <TD STYLE="width: 19%; text-align: center"></td>
    <TD STYLE="width: 5%; text-align: right"></td>
    <TD STYLE="width: 9%; text-align: right"></td>
    <TD STYLE="width: 2%; text-align: right"></td>
    <TD STYLE="width: 15%; text-align: right"></td>
    <TD STYLE="width: 2%; text-align: left"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><b><font color=#231f20>Contracts </font></b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><b><font color=#231f20>Issue</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Exchange</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="color: #231f20"><B>Expiration</B></FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center; padding-left: 12pt"><B>Notional </B><BR> <B>Value </B></td>
    <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized</font></b><br>

<b> </b><b>
      Appreciation<br>
      (Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center"><font color=#231f20>404</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Euro-Schatz</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Eurex</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>EUR</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>44,316,780</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(36,951</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center"><font color=#231f20>1</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>German Euro</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bund</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Mercantile</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>EUR</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>135,470</font></td>
    <TD STYLE="text-align: right; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(306</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center"><font color=#231f20>890</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10-Year US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Treasury Note </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Board of Trade</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD </font></td>
    <TD STYLE="text-align: right"><font color=#231f20>114,865,625</font></td>
    <TD STYLE="text-align: right; text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>205,436</font></td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center"><font color=#231f20>77</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Ultra US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Treasury Bond</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>11,732,875</font></td>
    <TD STYLE="text-align: right; border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>341,830</font></td>
    <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; border-bottom: Black 2pt solid"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>510,009</font></td>
    <TD STYLE="text-align: left; border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>&#149; </FONT><FONT color=#231f20>Foreign currency exchange contracts as of October 31, 2011 were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 5%"></td>
    <TD STYLE="width: 11%"></td>
    <TD STYLE="width: 21%"></td>
    <TD STYLE="width: 22%"></td>
    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 9%"></td>
    <TD STYLE="width: 3%"></td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="2" STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Currency</B><BR>
</FONT> <B>Purchased</B></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT STYLE="color: #231f20"><B><FONT STYLE="color: #231f20">Currency</FONT></B> <BR> Sold</FONT></B></td>
    <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Settlement</font></b><br>

<b>Date</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT STYLE="color: #231f20">Unrealized</FONT></B><BR> <B>Depreciation</B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>USD </font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,477,438</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>EUR</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,074,500</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1/25/12</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(8,539</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; height: 13px"><font color=#231f20>USD </font></td>
    <TD STYLE="border-bottom: #000000 1px solid; height: 13px; text-align: right"><font color=#231f20>123,988</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; height: 13px; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; height: 13px"><font color=#231f20>EUR</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; height: 13px; text-indent: 6pt; text-align: right"><font color=#231f20>90,000</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; height: 13px; text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; height: 13px"><font color=#231f20>1/25/12</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; height: 13px">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; height: 13px"><font color=#231f20>(477</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; height: 13px"><font color=#231f20>)</font></td>
  </tr>

  <tr>

    <td colspan=10>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(9,016</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 29; Options: NewSection; Value: 29 -->
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<P STYLE="text-align: left"></P><A name="page_30"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>&#149; </FONT><FONT color=#231f20>Credit default swaps on single-name issues &#151; buy protection outstanding as of October 31, 2011 were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="text-align: center; width: 14%"></td>
    <TD STYLE="text-align: center; width: 14%"></td>
    <TD STYLE="text-align: center; width: 17%"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 16%; text-align: center"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 8%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Issuer</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Pay</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional </font></b><br>

<b>Amount </b><br>

<b>(000) </b></td>
    <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized</font><br>
      Appreciation<br>
      (Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 1,100 </font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,220</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 1,150</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(902</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>General</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>JPMorgan</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Dynamics Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Chase</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank &amp; Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 2,475</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>21,317</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Computer</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sciences Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 1,160</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,463</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>General</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Dynamics Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 1,725</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,245</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD &nbsp;&nbsp;&nbsp;650</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(812</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dell, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank Plc</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 2,665</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(17,909</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Computer</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sciences Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 1,185</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(24,066</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Lockheed</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Martin Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 3,025</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>32,089</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>STMicroelectron-</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>ics NV</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>EUR 1,215</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,481</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Goldman</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Airlines Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Sachs Capital</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Markets LP</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 1,185</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(279</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Royal Bank of</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Airlines Co.</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Scotland Plc</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>USD 1,185</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(5,382</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>19,503</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on single-name issues &#151; sold
protection outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 12%"></td>
    <TD STYLE="text-align: center; width: 12%"></td>
    <TD STYLE="text-align: center; width: 18%"></td>
    <TD STYLE="text-align: center; width: 15%"></td>
    <TD STYLE="text-align: center; width: 16%"></td>
    <TD STYLE="width: 13%; text-align: center"></td>
    <TD STYLE="width: 3%; text-align: left"></td>
    <TD STYLE="width: 9%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Issuer</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Receive</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Expiration<br>

Date</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Issuer</font></b><br>

<b>Credit</b><br>

<b>Rating</b><b><sup>1</sup></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000)</b> <b><sup>2</sup></b></td>
    <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized</font></b><br>

<b>Appreciation</b><br>

<b>(Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Aviva USA</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5/25/12</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>AA&#150;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD 2,775</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>5,018</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Assured</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Guaranty</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/14</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>AA+</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>&nbsp;&nbsp;&nbsp;180</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,004</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Assured</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Guaranty</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>3/20/15</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>AA+</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD </font><font color=#231f20>&nbsp;&nbsp;&nbsp;770</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,234</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>MetLife, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00</font>%</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>3/20/18</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>A+</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>USD </font><font color=#231f20>&nbsp;&nbsp;&nbsp;900</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(43,991</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(38,743</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using S&amp;P&#146;s rating.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on traded indexes &#151; buy protection
outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">


  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Index</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Pay</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional <br>
      </font>Amount <br>
      (000)
       <font color=#231f20>
      </font></b></td>
    <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B>Unrealized</B><BR> <B>Depreciation</B></TD>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; width: 12%"><font color=#231f20>Dow Jones</font></td>
    <TD STYLE="text-align: center; width: 13%">&nbsp;</td>
    <TD STYLE="text-align: center; width: 16%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 15%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 20%">&nbsp;</td>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="text-align: left; width: 8%">&nbsp;</td>
    <TD STYLE="width: 2%">&nbsp;</TD>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>CDX North</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>America High</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>JPMorgan</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Yield Index</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Chase Bank</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left; border-bottom: Black 1pt solid"><font color=#231f20>Series 17</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><font color=#231f20>5.00</font>%</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><font color=#231f20>&amp; Co.</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><font color=#231f20>USD 4,450 </font></td>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;$</TD>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20> (426,393</font></td>
    <TD STYLE="border-bottom: Black 1pt solid">)</TD>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Interest rate swaps outstanding as of October 31, 2011
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 12%"></td>
    <TD STYLE="width: 13%; padding-left: 20pt"></td>
    <TD STYLE="width: 16%"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 7%; text-align: right"></td>
    <TD STYLE="width: 9%"></td>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Fixed</font></b><br>

<b>Rate</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Floating</font></b><br>

<b>Rate</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional <br>

Amount </font></b><br>

<b>(000) </b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT STYLE="color: #231f20">Unrealized<BR> Appreciation</FONT><BR> (Depreciation)</B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>1.43%(b)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/13/13</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>EUR  </font></td>
    <TD STYLE="text-align: right"><font color=#231f20>44,900</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20> (36,575</font></td>
    <TD STYLE="text-align: left">)&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.72%(b)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/08/21</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,500</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>242,524</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>4.35%(a)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>4/15/41</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,000</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(836,056</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>3.93%(a)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/21/41</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,400</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,246,530</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>3.01%(b)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/13/41</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>8,010</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.63%(b)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/26/41</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,900</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(130,552</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.81%(a)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/11/41</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,900</font></td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>62,636</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>3.00%(a)</font></td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-left: 20pt"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-left: 20pt">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>10/18/41</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,200</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(7,526</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left; padding-left: 20pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(1,944,069</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(a)</SUP>&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Pays a fixed interest rate and receives floating rate.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(b)</SUP>&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Pays a floating interest rate and receives fixed rate.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fair Value Measurements &#151; Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 1 &#151; unadjusted price quotations in active
markets/exchanges for identical assets and liabilities&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 2 &#151; other observable inputs (including, but
not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar
assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities
(such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other
market-corroborated inputs)&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 3 &#151; unobservable inputs based on the best
information available in the circumstances, to the extent observable inputs are not available (including the Fund&#146;s own assumptions
used in determining the fair value of investments and derivative financial instruments)&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="text-align: left"><FONT STYLE="color: #231f20">Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund&#146;s perceived risk of investing in those securities. For information about the Fund&#146;s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 30 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->30<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_31"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="52%"></TD>
     <TD width="47%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Fund&#146;s investments and derivative financial instruments:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Valuation Inputs</font></b></td>
    <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><b><font color=#231f20>Level 1</font></b></td>
    <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><b><font color=#231f20>Level 2</font></b></td>
    <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><b><font color=#231f20>Level 3</font></b></td>
    <TD COLSPAN="3" STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><b><font color=#231f20>Total</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Assets:</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Long-Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Asset-Back</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,077,112</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,053,750</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>4,130,862</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corporate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>526,966,508</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,536,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>530,502,508</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Preferred</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,420,499</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>115,273,057</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>116,693,556</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Taxable</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Municipal</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,895,257</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,895,257</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>US Government</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sponsored</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Agency</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,262,477</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,262,477</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>US Treasury</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Obligations</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,922,015</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,922,015</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Short-Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>405,708</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>405,708</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,826,207</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>654,396,426</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5,589,750</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>661,812,383</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="width: 2%; text-align: right"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%; text-align: right"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Valuation Inputs</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; border-top: Black 1pt solid">&nbsp;</td>
    <td colspan="2" style="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><b><font color=#231f20>Level 1</font></b></td>
    <td colspan="3" style="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1px solid"><b><font color=#231f20>Level 2</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><b><font color=#231f20>Level 3</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center">&nbsp;</td>
    <td colspan="3" style="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><b><font color=#231f20>Total</font></b></td>
  </tr>

  <tr valign=bottom>

    <td align=left colspan=4><font color=#231f20>Derivative Financial Instruments</font><sup><font color=#231f20>1</font></sup></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Assets:</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Interest rate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>547,266</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>532,478</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,079,744</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Credit</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>71,568</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>5,018</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>76,586</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Liabilities</font></b><font color=#231f20>:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Interest rate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(37,257</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,360,516</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,397,773</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Foreign</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>currency</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>exchange</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(9,016</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(9,016</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Credit</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(522,219</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(522,219</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>510,009</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(3,287,705</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20> )</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5,018</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(2,772,678</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 45%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Asset-Backed</FONT></B><BR>
<B>Securities</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Corporate</FONT></B><BR>
<B>Bonds</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Total</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>103,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>103,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,514</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,514</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>34</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>34</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(233,998</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>141,388</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(92,610</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,267,234</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,400,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,667,234</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(108,447</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(108,447</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,053,750</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3,536,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5,589,750</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(97,998).&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 88%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Credit</B><BR>
<B>Contracts</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,471</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,018</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Issuances</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14,687</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Settlements</FONT><SUP><FONT color=#231f20>6</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(23,158</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5,018</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $5,018.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Issuances represent upfront cash received on certain
derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>6&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 31; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->31<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_32"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="54%"></TD>
     <TD width="45%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT STYLE="color: #394c87">Schedule
                                    of Investments <FONT STYLE="font-size: 10pt">October 31, 2011</FONT></FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 66%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Asset-Backed Securities</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b>Par</b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><b>Value</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Atrium CDO Corp., Series 5A, Class A4,</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>0.69%, 7/20/20 (a)(b)</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">1,300</FONT></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,007,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Asset-Backed Securities &#151; 0.5%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,007,500</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan="6" style="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Corporate Bonds</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Aerospace &amp; Defense &#151; 1.8%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BE Aerospace, Inc., 8.50%, 7/01/18</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,215</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,327,387</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Bombardier, Inc., 7.75%, 3/15/20 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,405</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,545,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Huntington Ingalls Industries, Inc. (a):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>6.88%, 3/15/18</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>290</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>292,175</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>7.13%, 3/15/21</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>300</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>303,750</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Kratos Defense &amp; Security Solutions, Inc.,</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>10.00%, 6/01/17</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>460</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>476,100</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,944,912</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Airlines &#151; 1.0%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>American Airlines Pass-Through Trust:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Series 2011-1, Class A, 5.25%, 7/31/22</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>639</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>581,539</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Series 2011-2, Class A, 8.63%, 4/15/23</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>265</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>265,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Continental Airlines Pass-Through Certificates,</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Series 2009-2, Class B, 9.25%, 5/10/17</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>693</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>712,248</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>588</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>580,742</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,139,529</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Auto Components &#151; 1.5%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Daimler Finance North America LLC,</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>2.63%, 9/15/16 (a)(c)</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,650</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,639,890</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Delphi Corp., 6.13%, 5/15/21 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>280</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>285,600</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Icahn Enterprises LP:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>7.75%, 1/15/16</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>420</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>430,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>8.00%, 1/15/18</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,017,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,373,490</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Beverages &#151; 0.5%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Constellation Brands, Inc., 7.25%, 5/15/17</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>955</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,050,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Building Products &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Building Materials Corp. of America (a):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>7.00%, 2/15/20</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>180</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>190,800</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>6.75%, 5/01/21</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>570</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>591,375</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>782,175</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Capital Markets &#151; 3.9%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,634,641</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>E*Trade Financial Corp., 12.50%, 11/30/17 (d)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,037,250</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>The Goldman Sachs Group, Inc., 6.25%, 2/01/41 (c)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,150</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,217,095</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(e)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>805</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>788,426</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Morgan Stanley, 5.50%, 7/28/21 (c)(e)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,400</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,344,159</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS AG, 2.25%, 1/28/14 (c)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>775</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>772,270</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>8,793,841</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Chemicals &#151; 1.0%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Ashland, Inc., 9.13%, 6/01/17</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>245</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>273,788</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Celanese US Holdings LLC, 5.88%, 6/15/21</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>760</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>807,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Lyondell Chemical Co., 11.00%, 5/01/18</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>595</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>662,681</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Solutia, Inc., 7.88%, 3/15/20</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>415</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>444,050</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,188,019</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Commercial Banks &#151; 5.4%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Amsouth Bank, Series AI, 4.85%, 4/01/13</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>525</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>505,312</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>425</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>451,838</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Associated Banc-Corp, 5.13%, 3/28/16</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,070</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,104,025</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas, 3.60%, 2/23/16 (c)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>810</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>807,730</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Branch Banking &amp; Trust Co. (b):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>0.66%, 9/13/16</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>550</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>509,588</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>0.60%, 5/23/17</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>325</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>295,066</font></td>
  </tr>
</table><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 66%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>120</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>120,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>720</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>718,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>685</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>685,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>99,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Discover Bank, 8.70%, 11/18/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>622,072</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,908,084</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>RESPARCS Funding LP I, 8.00% (f)(g)(h)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,120,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Regions Financial Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.88%, 4/26/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,194,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>818,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>11,959,165</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Services &amp; Supplies &#151; 3.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviation Capital Group Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 10/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,355,766</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 4/06/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,083,274</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Casella Waste Systems, Inc., 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>336</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>322,560</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Clean Harbors, Inc., 7.63%, 8/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>630</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>666,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Corrections Corp. of America, 7.75%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,732,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Iron Mountain, Inc., 7.75%, 10/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>197,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Mobile Mini, Inc., 7.88%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>135</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>135,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,491,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Communications Equipment &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avaya, Inc., 9.75%, 11/01/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>354,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,518,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>EH Holding Corp., 6.50%, 6/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>210</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>214,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,087,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Consumer Finance &#151; 4.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Express Credit Corp., 2.75%, 9/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,936,148</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capital One Bank USA NA, 8.80%, 7/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,930,195</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ford Motor Credit Co., LLC, 7.00%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,420</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,547,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>870</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>930,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SLM Corp., 6.25%, 1/25/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,365</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,365,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,710,043</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Containers &amp; Packaging &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ball Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>920,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,070</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,152,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>420,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>355,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Rock-Tenn Co., 9.25%, 3/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>159,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sealed Air Corp., 8.38%, 9/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>65</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>70,363</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,077,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 9.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ally Financial, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.50%, 2/11/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>391,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.30%, 2/12/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>780</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>819,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.00%, 11/01/31</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>990</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>987,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bank of America Corp. (c):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.30%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,440</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,333,345</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.00%, 5/13/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,403,556</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Citigroup, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.38%, 8/12/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>674,715</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.59%, 12/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>496,288</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.50%, 5/22/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>680,580</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Countrywide Financial Corp., 6.25%, 5/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,569</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,533,040</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>430</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>461,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,367,985</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>252,288</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ING Bank NV, 5.00%, 6/09/21 (a)(c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,180,383</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intesa Sanpaolo SpA:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>2.38%, 12/21/12 (c)(e)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,655,610</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 2/24/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>276,812</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 32 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->32<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_33"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 66%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Corporate Bonds</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b>Par</b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b>Value</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services (concluded)</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Moody&#146;s Corp., 6.06%, 9/07/17</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">1,500</FONT></td>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,585,543</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Reynolds Group Issuer, Inc. (a):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>7.13%, 4/15/19</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>115</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>117,300</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>7.88%, 8/15/19</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>420</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>438,900</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>6.88%, 2/15/21</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>105</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>106,050</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>8.25%, 2/15/21</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>190</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>174,325</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>WMG Acquisition Corp., 9.50%, 6/15/16 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>100</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>106,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>20,041,420</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Telecommunication Services &#151; 5.5%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>AT&amp;T, Inc., 6.30%, 1/15/38 (c)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,403,458</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>France Telecom SA, 4.13%, 9/14/21</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>325</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>334,824</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Level 3 Financing, Inc.:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>8.75%, 2/15/17</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>355</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>362,988</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>8.13%, 7/01/19 (a)</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,247</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,234,530</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Qwest Corp., 8.38%, 5/01/16</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,360</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,553,800</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Telecom Italia Capital SA, 6.18%, 6/18/14</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>507,899</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Telefonica Emisiones SAU, 5.46%, 2/16/21</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>660</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>668,913</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Verizon Communications, Inc. (c):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>1.95%, 3/28/14</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,775</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,822,749</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>7.35%, 4/01/39</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,950</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,691,891</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Windstream Corp., 7.88%, 11/01/17</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>640</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>691,200</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>12,272,252</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Electric Utilities &#151; 1.8%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Duke Energy Corp., 3.55%, 9/15/21</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>825</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>847,464</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Progress Energy, Inc., 7.00%, 10/30/31 (c)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,622,792</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Southern Co., 1.95%, 9/01/16</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>475</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>478,714</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,948,970</font></td>
  </tr>

  <tr valign=bottom>

    <td align=left colspan=4><b><font color=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.8%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Jabil Circuit, Inc., 8.25%, 3/15/18</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>400</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>464,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>NXP BV, 3.15%, 10/15/13 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,450</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,421,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,885,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Energy Equipment &amp; Services &#151; 1.2%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Ensco Plc, 4.70%, 3/15/21</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>960</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,010,108</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Frac Tech Services LLC, 7.63%, 11/15/18 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>525</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>548,625</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Key Energy Services, Inc., 6.75%, 3/01/21</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>360</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>368,100</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>MEG Energy Corp., 6.50%, 3/15/21 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>465</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>484,762</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Oil States International, Inc., 6.50%, 6/01/19</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>245</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>256,638</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>SunCoke Energy, Inc., 7.63%, 8/01/19 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>90</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>90,900</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,759,133</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Food &amp; Staples Retailing &#151; 2.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>CVS Caremark Corp., 6.30%, 6/01/62 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,650</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,602,562</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Wal-Mart Stores, Inc. (c):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>5.25%, 9/01/35</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,850</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,155,668</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>6.20%, 4/15/38</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,075</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,401,725</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,159,955</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Food Products &#151; 1.0%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Kraft Foods, Inc.:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>6.50%, 8/11/17</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>800</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>956,241</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>6.13%, 8/23/18</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>800</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>952,007</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Smithfield Foods, Inc., 10.00%, 7/15/14</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>187</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>217,388</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,125,636</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Gas Utilities &#151; 0.1%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>240</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>237,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Health Care Equipment &amp; Supplies &#151; 0.6%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,130,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Teleflex, Inc., 6.88%, 6/01/19</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>240</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>248,400</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,378,400</font></td>
  </tr>
</table><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 66%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Providers &amp; Services &#151; 4.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aetna, Inc., 6.75%, 12/15/37 (c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,081,553</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviv Healthcare Properties LP, 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>220</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>212,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.50%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>105</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,145</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,199,387</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,645</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,762,206</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.50%, 2/15/22</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>985</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,004,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>INC Research LLC, 11.50%, 7/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>340</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>306,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>inVentiv Health, Inc., 10.00%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Tenet Healthcare Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>745</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>854,888</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.88%, 7/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>621,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UnitedHealth Group, Inc., 6.88%, 2/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,274,682</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,672,716</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Household Durables &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>723</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>572,978</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><B><FONT color=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AES Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>9.75%, 4/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>480</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>544,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.38%, 7/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>160</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>171,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>399,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>220</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>228,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy Future Intermediate Holding Co., LLC,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>10.00%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>892,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NRG Energy, Inc., 7.38%, 1/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>859,031</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,095,706</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Insurance &#151; 5.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>American International Group, Inc., 6.40%, 12/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>810</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>848,351</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aon Corp., 5.00%, 9/30/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,643,810</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,413,509</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>533,319</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Genworth Financial, Inc., 7.63%, 9/24/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>480</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>433,886</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Manulife Financial Corp., 4.90%, 9/17/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,104,135</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>210</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>180,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Northwestern Mutual Life Insurance,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.06%, 3/30/40 (a)(c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,109,562</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>601,826</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Prudential Financial, Inc., 6.63%, 12/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,051,154</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>XL Group Ltd., 5.75%, 10/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,740</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,834,661</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,754,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>IT Services &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>340</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>317,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>First Data Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.38%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>355</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>351,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.25%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>45</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>42,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>12.63%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>440</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>415,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SunGard Data Systems, Inc., 7.38%, 11/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>480,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,608,475</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Life Sciences Tools &amp; Services &#151; 1.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">Bio<FONT color=#231f20>-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,830</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,994,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Life Technologies Corp., 6.00%, 3/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,229,082</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,223,782</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Machinery &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AGY Holding Corp., 11.00%, 11/15/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>287,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ingersoll-Rand Global Holding Co. Ltd.,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>9.50%, 4/15/14 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,027,803</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Navistar International Corp., 8.25%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>451</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>490,463</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,805,891</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 33; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->33<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_34"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 66%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Media &#151; 10.0%</font></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>206,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,128</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300,020</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Comcast Corp., 6.30%, 11/15/17 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,038,048</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,412,054</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CSC Holdings LLC:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.50%, 4/15/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>330</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>362,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.50%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>868,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.63%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>580</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>658,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,368,360</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DISH DBS Corp., 7.00%, 10/01/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>898,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Luxembourg SA (d):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>11.50%, 2/04/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>60</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>60,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>11.50%, 2/04/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>658,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>520,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>News America, Inc., 6.15%, 3/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,196,442</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The New York Times Co., 6.63%, 12/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,370,217</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner, Inc., 7.70%, 5/01/32</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,604,322</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC Germany</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>GmbH), 8.13%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>505</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>537,825</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,400,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>22,374,913</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Metals &amp; Mining &#151; 2.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alcoa, Inc., 5.40%, 4/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,190</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,179,124</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barrick Gold Corp., 2.90%, 5/30/16 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>571,044</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Barrick North America Finance LLC, 5.70%, 5/30/41</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>755,459</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>FMG Resources August 2006 Property Ltd. (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.88%, 2/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>110,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.25%, 11/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,626,723</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Novelis, Inc., 8.75%, 12/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>512,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Teck Resources Ltd., 10.75%, 5/15/19 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,049,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,895,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><B><FONT color=#394c87>Multi-Utilities &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CenterPoint Energy, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>5.95%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,689,132</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.50%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,864,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,553,194</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Multiline Retail &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>JC Penney Co., Inc., 5.65%, 6/01/20</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,400</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,319,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 12.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alpha Natural Resources, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.00%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>120</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>119,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.25%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>340</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>335,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Anadarko Petroleum Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>5.95%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>497</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>571,161</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.38%, 9/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14,121</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Arch Coal, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.00%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>115</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>119,025</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.25%, 6/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>360,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BP Capital Markets Plc:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>3.88%, 3/10/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>749,402</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>3.20%, 3/11/16 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>925</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>971,856</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Buckeye Partners LP, 4.88%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500,255</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,690</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,770,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>285</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>287,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chesapeake Oilfield Operating LLC,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.63%, 11/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>130</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>133,575</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>220</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>218,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Copano Energy LLC, 7.13%, 4/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>270</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>276,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DCP Midstream LLC, 4.75%, 9/30/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>652,332</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Denbury Resources, Inc., 6.38%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>280</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>288,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Corp., 7.00%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>690</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>772,800</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 66%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Pipeline Partners Operating Co., LLC,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.00%, 10/01/21</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>307,642</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enbridge Energy Partners LP, 9.88%, 3/01/19 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,339,294</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>505,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enterprise Products Operating LLC, 6.65%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,352,684</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Forest Oil Corp., 8.50%, 2/15/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>648,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Hilcorp Energy I LP, 7.75%, 11/01/15 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>345</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>353,936</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,389,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Linn Energy LLC, 7.75%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>465</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>496,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>666,803</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MarkWest Energy Partners LP, 6.25%, 6/15/22 (i)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>255</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>261,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Newfield Exploration Co., 5.75%, 1/30/22</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>254,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Oasis Petroleum, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 2/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>174,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 11/01/21 (i)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>145</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>145,725</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>OGX Petroleo e Gas Participacoes SA,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>8.50%, 6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>569,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ONEOK Partners LP, 8.63%, 3/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,230,435</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrobras International Finance Co., 3.88%, 1/27/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,841,942</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrohawk Energy Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.50%, 8/01/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>336,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.25%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>345</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>389,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pioneer Natural Resources Co.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.65%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>320</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>347,536</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>259,516</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Plains Exploration &amp; Production Co.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>385</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>399,438</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.00%, 3/01/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>222,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Precision Drilling Corp., 6.50%, 12/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>210</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>221,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Premier Oil, 5.00%, 6/09/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,690,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Range Resources Corp., 6.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>415</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>460,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>337,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SM Energy Co., 6.63%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>110</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>111,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Western Gas Partners LP, 5.38%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>770,994</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Williams Cos., Inc., 8.75%, 3/15/32</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>544,596</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>28,769,493</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Paper &amp; Forest Products &#151; 3.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Boise Paper Holdings LLC, 8.00%, 4/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>310</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>326,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,635</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,812,952</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>International Paper Co.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.50%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,974,836</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.70%, 6/15/38</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,183,981</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.30%, 11/15/39</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,011,443</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Longview Fibre Paper &amp; Packaging, Inc.,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>160</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>162,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verso Paper Holdings LLC, 11.50%, 7/01/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>170</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>178,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,650,387</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Pharmaceuticals &#151; 6.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>883</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,121,822</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,460</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,676,789</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Merck &amp; Co., Inc. (c):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 12/01/33</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>990</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,354,018</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.55%, 9/15/37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,979</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,755,085</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pfizer, Inc., 7.20%, 3/15/39 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,734,135</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Valeant Pharmaceuticals International,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.50%, 7/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>125,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Watson Pharmaceuticals, Inc., 6.13%, 8/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,021</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,192,690</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>14,959,539</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Professional Services &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>FTI Consulting, Inc., 7.75%, 10/01/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>100</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>104,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,957,364</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Developers Diversified Realty Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>315</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>296,433</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.88%, 9/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>405,901</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 34 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->34<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_35"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 66%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ERP Operating LP, 5.75%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,715</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,916,651</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCP, Inc., 5.38%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>513,517</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UDR, Inc., 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>745,512</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>538,587</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,373,965</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Management &amp; Development &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Shea Homes LP, 8.63%, 5/15/19 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>230</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>208,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Road &amp; Rail &#151; 1.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>209</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>208,478</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Florida East Coast Railway Corp., 8.13%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Hertz Corp., 6.75%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>518</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>528,360</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,891,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,708,513</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><B><FONT color=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>406,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>KLA-Tencor Corp., 6.90%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>918</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,045,036</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,451,036</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AutoNation, Inc., 6.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>940</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>975,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Best Buy Co., Inc., 5.50%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>262,864</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Limited Brands, Inc., 7.00%, 5/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>QVC, Inc., 7.38%, 10/15/20 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>50</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>54,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>VF Corp., 5.95%, 11/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>725</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>858,565</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,651,729</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Tobacco &#151; 2.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Altria Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>9.25%, 8/06/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>319,045</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.20%, 2/06/39 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,919</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,964,534</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lorillard Tobacco Co., 3.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,179,560</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Philip Morris International, Inc., 2.50%, 5/16/16 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,273,596</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,736,735</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Wireless Telecommunication Services &#151; 4.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>America Movil SAB de CV, 2.38%, 9/08/16 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,780</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,777,140</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Tower Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>925</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>951,405</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.05%, 9/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>528,216</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cricket Communications, Inc., 7.75%, 5/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>337,188</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle International Corp., 9.00%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>430</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>468,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle Towers LLC (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.50%, 1/15/37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>626,316</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.17%, 8/15/37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,018,865</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.11%, 1/15/40</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>690,621</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>150,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>395</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,723,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sprint Capital Corp., 6.88%, 11/15/28</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>167,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,830,913</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Corporate Bonds &#151; 115.2%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>256,729,218</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Preferred Securities</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Capital Trusts</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 3.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust III, 5.34% (b)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,385</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,387,355</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust IV, 1.35%, 6/01/37 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,776,563</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,163,918</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 66%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Capital Trusts</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Par</font></b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><b>Value</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Commercial Banks &#151; 3.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays Bank Plc (a)(b)(g):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>5.93%</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: left"><font color=#231f20> 1,700</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,377,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>7.43%</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>325</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>303,875</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas, 7.20% (a)(b)(g)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>700</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>577,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Agricole SA (a)(b)(c)(g):</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>6.64%</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>725</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>489,738</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>8.38%</font></td>
    <TD STYLE="text-indent: 12pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>725</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>638,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,095</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>854,100</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>FCB/NC Capital Trust I, 8.05%, 3/01/28</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,100</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,121,794</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>NBP Capital Trust III, 7.38% (g)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,300,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>National City Preferred Capital Trust I, 12.00% (b)(g)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>600</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>622,596</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>7,284,603</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Consumer Finance &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Capital One Financial Corp. Capital V, 10.25%, 8/15/39</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>750</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>776,250</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 4.4%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>ING Capital Funding Trust III, 3.97% (b)(g)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>850</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>720,140</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>JPMorgan Chase Capital XXI, Series U,</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>1.21%, 2/02/37 (b)</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>7,125</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,937,946</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,190</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>4,273,650</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>9,931,736</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Electric Utilities &#151; 0.4%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>PPL Capital Funding, 6.70%, 3/30/67 (b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>868,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Insurance &#151; 6.5%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>The Allstate Corp., 6.50%, 5/15/67 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>838,125</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>American General Capital II, 8.50%, 7/01/30</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>100</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>98,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>American International Group, Inc., 8.18%, 5/15/68 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>400</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>386,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>AXA SA, 6.38% (a)(b)(g)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>672,750</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Chubb Corp., 6.38%, 3/29/67 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>904,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,093,500</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Lincoln National Corp., 7.00%, 5/17/66 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>846,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>MetLife, Inc., 6.40%, 12/15/66</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>884,104</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Prudential Plc, 6.50% (g)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,475,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Reinsurance Group of America, 6.75%, 12/15/65 (b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,300</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,128,178</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Swiss Re Capital I LP, 6.85% (a)(b)(g)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>901,738</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>ZFS Finance (USA), Trust II, 6.45%, 12/15/65 (a)(b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,150</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,104,000</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>190</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>184,300</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>14,516,195</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 0.4%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>900</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>917,257</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Capital Trusts &#151; 19.0%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>42,458,459</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan="6" style="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Preferred Stocks</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td colspan="2" style="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Shares</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Commercial Banks &#151; 0.5%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>SG Preferred Capital II, 6.30% (a)(b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,000</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,004,687</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Ally Financial, Inc., 7.00% (a)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,020</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>760,697</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Preferred Stocks &#151; 0.8%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,765,384</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan="6" style="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Trust Preferreds</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>30,290</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>621,718</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Trust Preferreds &#151; 0.3%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>621,718</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Preferred Securities &#151; 20.1%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>44,845,561</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 35; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->35<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_36"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 64%"></td>
    <TD STYLE="width: 10%; text-align: right"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Taxable Municipal Bonds</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Par</font></b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Value</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Metropolitan Transportation Authority, RB, Build</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>America Bonds, 6.55%, 11/15/31</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20> 1,675</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,891,175</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Taxable Municipal Bonds &#151; 0.8%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,891,175</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=7>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>US Government Sponsored Agency Securities</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Agency Obligations &#151; 0.3%</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Fannie Mae, 4.23%, 10/09/19 (c)(j)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>805</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>608,559</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="4" STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total US Government Sponsored Agency Securities &#151; 0.3%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>608,559</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=7>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>U.S. Treasury Obligations</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>US Treasury Bonds, 4.75%, 2/15/41 (c)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,295</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,683,500</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>US Treasury Notes, 2.13%, 8/15/21 (c)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,902</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,893,688</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total U.S. Treasury Obligations &#151; 1.6%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3,577,188</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=7>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Warrants (k)</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD ALIGN="CENTER" COLSPAN="2" STYLE="border-bottom: Black 2pt solid"><b><font color=#231f20>Shares</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Media &#151; 0.0%</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Cumulus Media, Inc. (Expires 3/26/19)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,183</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>14,822</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Warrants &#151; 0.0%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>14,822</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Long-Term Investments</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $303,928,660) &#151; 138.5%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>308,674,023</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=7>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Short-Term Securities</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BlackRock Liquidity Funds, TempFund,</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Institutional Class, 0.14% (l)(m)</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,459,914</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,459,914</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Short-Term Securities</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $2,459,914) &#151; 1.1%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2,459,914</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Investments Before Options Written</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $306,388,574*) &#151; 139.6%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>311,133,937</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=7>&nbsp;</td>
  </tr>

  <tr>

    <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Options Written</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000</b><b>)</b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Call Swaptions &#151; (0.7)%</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.03% and receive a floating rate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 4/16/12,</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Broker UBS AG</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">USD&nbsp;</td>
    <TD ALIGN="LEFT" STYLE="text-align: right"><FONT STYLE="color: #231f20">3,700</FONT></td>
    <TD ALIGN="LEFT">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(524,223</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Pay a fixed rate of 4.75% and receive a floating rate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 3/24/14,</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Broker Citibank NA</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(788,225</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1,312,448</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 64%"></td>
    <TD STYLE="width: 10%; text-align: right"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Options Written</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><b>Value</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#394c87>Over-the-Counter Put Swaptions &#151; 0.0%</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Receive a fixed rate of 4.03% and pay a floating rate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 4/16/12,</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Broker UBS AG</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: right"><font color=#231f20> 3,700</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(5,922</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Receive a fixed rate of 4.75% and pay a floating rate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>based on 3-month LIBOR, Expires 3/24/14,</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Broker Citibank NA</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(90,778</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(96,700</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Options Written</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Premiums Received &#151; $851,400) &#151; (0.7)%</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(1,409,148</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total Investments, Net of Options Written &#151; 138.9%</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>309,724,789</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Liabilities in Excess of Other Assets &#151; (38.9)%</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(86,786,122</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Net Assets &#151; 100.0%</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>222,938,667</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="text-align: left; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font-size: 10pt; color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-size: 10pt; color: #231f20">The
                                                                                                                       cost and
                                                                                                                       unrealized
                                                                                                                       appreciation
                                                                                                                       (depreciation)
                                                                                                                       of investments
                                                                                                                       as of October
                                                                                                                       31, 2011,
                                                                                                                       as computed
                                                                                                                       for federal
                                                                                                                       income
                                                                                                                       tax purposes,
                                                                                                                       were as
                                                                                                                       follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 84%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 11%"></TD>
     <TD STYLE="width: 1%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aggregate cost</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>306,130,368</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized appreciation</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16,739,176</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized depreciation</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(11,735,607</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net unrealized appreciation</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5,003,569</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(a)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(b)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Variable rate security. Rate shown is as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(c)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(d)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(e)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">All or a portion of security has been pledged as collateral
in connection with swaps.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(f)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security is perpetual in nature and has no stated maturity
date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(g)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Non-income producing security.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(h)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Issuer filed for bankruptcy and/or is in default of interest
payments.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(i)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">When-issued security. Unsettled when-issued transactions
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="color: #231f20; font-weight: bold; text-align: left; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Counterparty</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Value</TD>
    <TD STYLE="font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid">Unrealized<BR> Appreciation</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 56%; color: #231f20; text-align: left">Barclays Capital, Inc.</TD>
    <TD STYLE="width: 16%; color: #231f20; text-align: center">$261,375</TD>
    <TD STYLE="width: 12%; color: #231f20; text-align: center">$6,375</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: left">JPMorgan Chase Bank NA</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$145,725</TD>
    <TD STYLE="border-bottom: Black 1pt solid; color: #231f20; text-align: center">$&nbsp;&nbsp;&nbsp;725</TD></TR>
</TABLE>
<BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(j)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(k)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Warrants entitle the Fund to purchase a predetermined
number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment
under certain conditions until the expiration date, if any.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(l)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 21%"></TD>
     <TD STYLE="width: 22%"></TD>
     <TD STYLE="width: 21%"></TD>
     <TD STYLE="width: 19%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Affiliate</FONT></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Shares Held at</FONT></B><BR>
<B>October 31,</B><BR>
<B>2010</B></TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Net</FONT></B><BR>
<B>Activity</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Shares Held at</FONT></B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Income</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BlackRock Liquidity</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Funds, TempFund,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Institutional Class</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>34,466,527</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>(32,006,613)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>2,459,914</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,711</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(m)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents the current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For Fund compliance purposes, the Fund&#146;s industry
classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes
or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 36 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->36<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_37"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 18%"></td>
    <TD STYLE="width: 14%; text-align: center"></td>
    <TD STYLE="width: 18%; text-align: center"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 3%"></td>
    <TD STYLE="width: 12%"></td>
    <TD STYLE="width: 3%"></td>
    <TD STYLE="width: 3%"></td>
    <TD STYLE="width: 12%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Interest</font></b><br>

<b>Rate</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Trade</font></b><br>

<b>Date</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Maturity</font></b><br>

<b>Date</b><b><sup>1</sup></b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Closing</font></b><br>

<b>Amount</b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Face</font></b><br>

<b>Amount</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>6/07/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,652,545</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,648,220</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>6/09/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,472,545</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,466,250</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>6/10/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,459,175</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,453,925</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>6/15/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,109,847</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,107,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>6/15/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,766,400</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,763,812</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.37%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>6/27/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>558,979</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>558,250</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>6/28/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>923,355</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>922,225</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>7/05/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,679,471</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,676,375</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.31%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>7/07/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>481,423</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>480,937</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>7/11/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>849,002</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>848,070</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.30%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>7/11/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,454,509</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,452,200</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>7/20/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,706,674</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,699,900</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.17%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>7/29/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,441,334</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,440,688</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/01/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,881,932</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,880,250</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.03%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/04/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>588,700</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>588,656</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/05/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,244,966</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,243,750</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.39%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/05/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,046,497</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,045,500</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/10/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,153,674</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,151,938</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/15/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,191,603</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,190,700</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/16/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,152,012</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,151,150</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.37%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/17/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,013,572</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,012,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/18/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,985,196</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,983,750</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/18/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,215,474</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,214,588</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/25/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,231,474</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,230,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>8/31/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,388,939</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,387,500</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/08/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,783,295</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,782,359</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/08/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,301,491</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,300,750</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.37%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/08/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,744,906</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,743,938</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/08/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,678,657</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,677,650</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/09/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,658,730</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,656,125</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/09/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,587,184</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,586,250</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/12/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,043,882</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,043,375</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/12/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,019,371</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,018,250</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/14/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>972,860</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>972,406</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;
      </td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center">
      <font color=#231f20>9/14/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,737,775</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,735,250</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 18%"></td>
    <TD STYLE="width: 14%; text-align: center"></td>
    <TD STYLE="width: 18%; text-align: center"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 3%; text-align: left"></td>
    <TD STYLE="width: 12%"></td>
    <TD STYLE="width: 3%"></td>
    <TD STYLE="width: 3%"></td>
    <TD STYLE="width: 12%; text-align: right"></td>
    <TD STYLE="width: 2%; text-align: right"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Interest</font></b><br>

<b>Rate</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Trade</font></b><br>

<b>Date</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Maturity</font></b><br>

<b>Date</b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Closing</font></b><br>

<b>Amount</b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Face</font></b><br>

<b>Amount</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/14/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>7,123,607</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>7,120,000</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/19/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,310,626</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>1,310,000</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>273,111</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 0px; text-align: right"><font color=#231f20>273,000</font></td>
    <TD STYLE="text-indent: 0px; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/23/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,552,798</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>1,552,125</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/30/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,143,575</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>2,142,813</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/28/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,276,221</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>3,276,093</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.08%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/31/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,897,248</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>1,897,245</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/31/11</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,427,790</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>1,427,790</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>10/31/11</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Open</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,858,220</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,858,220</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>93,040,645</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>92,971,273</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Certain agreements have no stated maturity and can be
terminated by either party at anytime.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Financial futures contracts purchased as of October 31,
2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <td colspan="2"></td>
    <TD></td>
    <TD></td>
    <TD></td>
    <td colspan="2"></td>
    <td colspan="3"></td>
  </tr>

  <tr valign=bottom>

    <td colspan="2" style="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><font style="color: #231f20"><b>Contracts </b></font></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><font style="color: #231f20"><b>Issue</b></font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Exchange</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Expiration</font></b></td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional </font></b><br>

<b>Value </b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized</font><br>
      Appreciation</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right"><font style="color: #231f20">3</font></td>
    <TD STYLE="text-align: left; padding-left: 24pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>2-Year US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <td colspan="2" style="text-align: left">&nbsp;</td>
    <td colspan="3" style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="2" style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Treasury Note</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20"> 660,844 </font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; text-align: right"><font style="color: #231f20">$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center; text-align: right"><font style="color: #231f20">416</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Financial futures contracts sold as of October 31, 2011
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 6%; text-align: left"></td>
    <TD STYLE="width: 7%; text-align: left"></td>
    <TD STYLE="width: 18%"></td>
    <TD STYLE="width: 18%"></td>
    <TD STYLE="width: 17%; text-align: center"></td>
    <TD STYLE="width: 8%; text-align: right"></td>
    <TD STYLE="width: 10%; text-align: right; padding-right: 12pt"></td>
    <TD STYLE="width: 4%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left" colspan="2"><b><font color=#231f20>Contracts </font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>Issue</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>Exchange</font></b></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>Expiration</font></b></td>
    <td style="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: center" colspan="2"><b><font color=#231f20>Notional<br>

Value</font></b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" align=center colspan=3><b><font color=#231f20>Unrealized<br>

<b><font color=#000000>Appreciation<br>

</font></b>(Depreciation)</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right"><font color=#231f20>371</font></td>
    <TD STYLE="text-align: right; padding-left: 24pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>10-Year US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-left: 24pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Treasury Note</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD </font></td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>47,882,188</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>44,207</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right"><font color=#231f20>1</font></td>
    <TD STYLE="text-align: right; padding-left: 24pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>30-Year US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-left: 24pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Treasury Bond</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>USD </font></td>
    <TD STYLE="text-indent: 12pt; text-align: right; padding-right: 12pt"><font color=#231f20>139,031</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,518</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: right"><font color=#231f20>6</font></td>
    <TD STYLE="text-align: right; padding-left: 24pt">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Ultra US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-left: 24pt">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Treasury Bond</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>USD </font></td>
    <TD STYLE="text-indent: 12pt; border-bottom: #000000 1px solid; text-align: right; padding-right: 12pt"><font color=#231f20>914,250</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>28,865</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="4" STYLE="text-align: left"><B><FONT STYLE="color: #231f20">Total</FONT></B></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>69,554</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on single-name issues &#151; buy
protection outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="text-align: center"></td>
    <TD STYLE="text-align: center"></td>
    <TD STYLE="text-align: center"></td>
    <TD COLSPAN="2" STYLE="text-align: center"></td>
    <TD></td>
    <TD></td>
    <TD></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Issuer</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Pay</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT STYLE="color: #231f20">Unrealized</FONT></B><BR> <B>Appreciation</B><BR> <B>(Depreciation)</B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; width: 13%"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center; width: 13%"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center; width: 18%"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center; width: 17%"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: right; width: 9%"><FONT STYLE="color: #231f20">USD </FONT></TD>
    <TD STYLE="text-align: right; width: 9%; padding-right: 12pt"><FONT STYLE="color: #231f20">525</FONT></TD>
    <TD STYLE="text-indent: 6pt; text-align: left; width: 4%"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right; width: 10%"><font color=#231f20>2,969</font></td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">USD </FONT></TD>
    <TD STYLE="text-align: right; padding-right: 12pt"><FONT STYLE="color: #231f20">560</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(439</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>General</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Dynamics</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>JPMorgan</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chase Bank &amp; Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">USD </FONT></TD>
    <TD STYLE="text-align: right; padding-right: 12pt"><FONT STYLE="color: #231f20">1,225</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>10,551</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Computer</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sciences</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">USD</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 12pt"><FONT STYLE="color: #231f20"> 565</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,661</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>General</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Dynamics</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">USD </FONT></TD>
    <TD STYLE="text-align: right; padding-right: 12pt"><FONT STYLE="color: #231f20">850</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,607</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Morgan Stanley</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>&amp; Co., Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">USD </FONT></TD>
    <TD STYLE="text-align: right; padding-right: 12pt"><FONT STYLE="color: #231f20">325</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(406</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dell, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Barclays Bank Plc </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16 </font></td>
    <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">USD </FONT></TD>
    <TD STYLE="text-align: right; padding-right: 12pt"><FONT STYLE="color: #231f20">1,290</FONT></TD>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(8,669</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 37; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->37<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_38"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>&#149; </FONT><FONT color=#231f20>Credit default swaps on single-name issues &#151; buy protection outstanding as of October 31, 2011 were as follows (concluded):</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 15%"></td>
    <TD STYLE="width: 20%; text-align: center"></td>
    <TD STYLE="width: 21%; text-align: center"></td>
    <TD STYLE="width: 20%; text-align: center"></td>
    <TD STYLE="width: 9%; text-align: center"></td>
    <TD STYLE="width: 11%; text-align: center"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 15%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Issuer</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Pay</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <td style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid" colspan="2"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000</b><b>)</b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized</font></b><br>

<b>Appreciation</b><br>

<b>(Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>The New York</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Times Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Barclays Bank Plc</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: center"><font color=#231f20> 1,725 </font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>11,747</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Computer</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sciences</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: center"><font color=#231f20> 570</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(11,576</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Lockheed</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Martin</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: center"><font color=#231f20> 1,500</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>15,912</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Goldman Sachs</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Airlines Co. </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Capital Markets LP</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>USD</font></td>
    <TD STYLE="text-align: center"><font color=#231f20> 570</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(134</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Royal Bank of</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Airlines Co. </font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Scotland Plc</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>USD</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>  570</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(2,589</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>22,634</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on single-name issuer &#151; sold
protection outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 12%"></td>
    <TD STYLE="width: 13%; text-align: center"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 14%; text-align: center"></td>
    <TD STYLE="width: 14%; text-align: center"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <TD STYLE="width: 9%; text-align: right; padding-right: 12pt"></td>
    <TD STYLE="width: 4%; text-align: left"></td>
    <TD STYLE="width: 13%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Issuer</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Receive</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Counterparty</B></FONT></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">
      <p style="text-align: center"><b><font color=#231f20>Expiration </font></b></p>
    </td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Issuer<br>

<b><font color=#000000>Credit</font></b> <br>
      Rating</font></b><b><sup><font color=#231f20>1</font></sup></b></td>
    <td style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid" colspan="2"><b><font color=#231f20>Notional</font></b><br>

<b>Amount</b><br>

<b>(000)</b> <b><sup>2</sup></b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized</font></b><br>

<b>Appreciation</b><br>

<b>(Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Aviva USA</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5/25/12</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>AA-</font></td>
    <TD STYLE="text-align: center">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> 1,300</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,351</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Assured</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Guaranty</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>12/20/14</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>AA+</font></td>
    <TD STYLE="text-align: center">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> 85</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(474</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Assured</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Guaranty</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>5.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>3/20/15</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>AA+</font></td>
    <TD STYLE="text-align: center">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> 365</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>585</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>MetLife, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>3/20/18</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>A+</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">USD</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 12pt"><font color=#231f20> 425</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(20,773</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(18,311</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using S&amp;P&#146;s rating.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on traded indexes &#151; buy protection
outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; width: 17%; border-top: Black 1pt solid"><b><font color=#231f20>Issuer</font></b></td>
    <TD STYLE="text-align: center; width: 17%; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Pay</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; width: 17%; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; width: 17%; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <TD STYLE="text-align: center; width: 17%; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Amount </b><br>

<b>(000) </b></td>
    <TD STYLE="text-align: center; width: 15%; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b>Unrealized<br>
      Depreciation</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dow Jones</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>CDX North</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>America High</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>JPMorgan</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Yield Index</font></td>
    <TD STYLE="text-indent: 6pt; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Chase Bank</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Series </font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>17 5.00%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>&amp; Co.</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>USD 2,150 </font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>$(206,010)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Interest rate swaps outstanding as of October 31, 2011
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 15%; text-align: left"></td>
    <TD STYLE="width: 20%; text-align: center"></td>
    <TD STYLE="width: 21%"></td>
    <TD STYLE="width: 20%; text-align: center"></td>
    <TD STYLE="width: 9%; text-align: right"></td>
    <TD STYLE="width: 11%; text-align: right; padding-right: 12pt"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 15%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Fixed</font></b><br>

<b>Rate</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Floating</font></b><br>

<b>Rate</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <td style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid" colspan="2">
      <p style="text-align: center"><font style="color: #231f20"><b>Notional<br>
Amount <br>
        </b></font><b>(000)</b></p>
    </td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized<br>

Appreciation<br>

</font></b><b>(Depreciation)</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>0.63</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/21/13</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>30,600</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>40,700</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>0.64</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/21/13</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> 30,600</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>48,184</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>0.60</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>11/01/13</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> 61,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(43,162</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.32</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>3/28/16</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>2,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>104,016</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>1.49</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/14/16</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>1,800</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(17,574</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.72</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/08/21</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>5,500</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>205,212</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.39</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/14/21</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>1,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,915</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>4.38</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Goldman Sachs</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>International</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>4/14/41</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>200</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(56,675</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="height: 7px; text-align: left"><font color=#231f20>4.35</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center; height: 7px"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center; height: 7px"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center; height: 7px">&nbsp;</td>
    <TD STYLE="text-align: right; height: 7px">&nbsp;</td>
    <TD STYLE="text-align: right; height: 7px; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right; height: 7px">&nbsp;</td>
    <TD STYLE="text-align: left; height: 7px">&nbsp;</td>
    <TD STYLE="text-align: left; height: 7px">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>4/15/41</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>1,500</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(418,028</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>3.93</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/21/41</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>2,600</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(506,403</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.63</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/26/41</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>900</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(61,840</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.81</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/11/41</font></td>
    <TD STYLE="text-align: right">USD</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>900</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>29,670</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>3.00</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>10/18/41</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">USD</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 12pt"><font color=#231f20> </font><font color=#231f20>600</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(3,763</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(673,748</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(a)</SUP>&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fund pays a floating interest rate and receives fixed rate. </FONT>&nbsp;</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(b)</SUP>&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fund pays a fixed interest rate and receives floating rate.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fair Value Measurements &#151; Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 1 &#151; unadjusted price quotations in active
markets/exchanges for identical assets and liabilities&nbsp;&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 2 &#151; other observable inputs (including, but
not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar
assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities
(such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other
market-corroborated inputs)&nbsp;&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 3 &#151; unobservable inputs based on the best
information available in the circumstances, to the extent observable inputs are not available (including the Fund&#146;s own assumptions
used in determining the fair value of investments and derivative financial instruments)&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="text-align: left"><FONT STYLE="color: #231f20">Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund&#146;s perceived risk of investing in those securities. For information about the Fund&#146;s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 38 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->38<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_39"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Fund&#146;s investments and derivative financial instruments:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%; text-align: right"></td>
    <TD STYLE="width: 2%; text-align: right"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <td colspan="9" style="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b>Investments in Securities</b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>Valuation Inputs</font></b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" align=center colspan=3><b><font color=#231f20>Level 1</font></b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" align=center colspan=3><b><font color=#231f20>Level 2</font></b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" align=center colspan=2><b><font color=#231f20>Level 3</font></b></td>
    <td style="BORDER-BOTTOM: #000000 1px solid" align=center colspan=3><b><font color=#231f20>Total</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Assets:</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Long-Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Asset-Back</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 11px; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-indent: 11px; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,007,500</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,007,500</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corporate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>255,039,218</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,690,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>256,729,218</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Preferred</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>621,718</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right"><font color=#231f20>44,223,843</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>44,845,561</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Taxable</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Municipal</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>1,891,175</font></td>
    <TD STYLE="text-indent: 12pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,891,175</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="TEXT-INDENT: 6pt" align=left colspan=4><font color=#231f20>US Government</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Sponsored</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Agency</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>608,559</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>608,559</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>US Treasury</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Obligations</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; text-align: right"><font color=#231f20>3,577,188</font></td>
    <TD STYLE="text-indent: 12pt; text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,577,188</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Warrants</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>14,822</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>14,822</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Short-Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,459,914</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,459,914</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3,081,632</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>305,354,805</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2,697,500</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>311,133,937</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%; text-align: right"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Valuation Inputs</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 1</FONT></B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 2</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 3</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center"><B><FONT color=#231f20>Total</FONT></B></TD></TR>
<TR>
     <TD colSpan=12>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=4><FONT color=#231f20>Derivative Financial Instruments</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Interest rate</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>73,488</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>433,697</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>507,185</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Credit</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>47,032</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20></FONT></TD>
     <TD STYLE="text-align: right">$</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,351</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>49,383</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Liabilities:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Interest rate</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(3,518</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,516,593</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20></FONT></TD>
     <TD STYLE="text-align: right">&#151;-</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,520,111</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Credit</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(251,070</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(251,070</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>69,970</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(2,286,934</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>) </FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">$</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,351</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(2,214,613</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 9pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 30%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B>Asset-Backed</B><BR>
<B>Securities</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Common</FONT></B><BR>
<B>Stocks</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B>Corporate</B><BR>
<B>Bonds</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Preferred</FONT></B><BR>
<B>Securities</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Total</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>54,708</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>180</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>270,532</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325,420</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,064</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>720</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,784</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1,062,064</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,233</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>452,316</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(606,515</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized &nbsp;&nbsp;&nbsp;&nbsp;appreciation/depreciation</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(114,792</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,129,549</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>69,964</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(97,813</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>986,908</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,112,228</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,625,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,737,228</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(122,193</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(9,097</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(625,035</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(756,325</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,007,500</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,690,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,697,500</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(49,792).&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 80%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Credit</B><BR>
<B>Contracts</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,968</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,351</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Issuances</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,880</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Settlements</FONT><SUP><FONT color=#231f20>6</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(10,848</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,351</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $2,351.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Issuances represent upfront cash received on certain
derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>6&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

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<P STYLE="text-align: left"></P><A name="page_40"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="54%"></TD>
     <TD width="45%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT STYLE="color: #394c87">Schedule
                                    of Investments </FONT><FONT STYLE="font-size: 10pt; color: rgb(57,76,135)">October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Asset-Backed Securities</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Atrium CDO Corp., Series 5A, Class A4, 0.69%,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>7/20/20 <FONT color=#231f20>(a)(b)</FONT></FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,410,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SLM Student Loan Trust, Series 2004-B, Class A2,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>0.55%, 6/15/21 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,995</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,825,176</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Total Asset-Backed Securities &#151; 1.0%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>7,235,176</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Aerospace &amp; Defense &#151; 1.7%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BE Aerospace, Inc., 8.50%, 7/01/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,905,687</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bombardier, Inc., 7.75%, 3/15/20 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,950,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Huntington Ingalls Industries, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.88%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>990</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>997,425</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.13%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>960</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>972,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kratos Defense &amp; Security Solutions, Inc.,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>10.00%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,662</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,720,170</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,545,282</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Airlines &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Airlines Pass-Through Trust:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Series 2011-1, Class A, 5.25%, 7/31/22</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,421</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,203,488</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Series 2011-2, Class A, 8.63%, 4/15/23</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>940</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>940,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Continental Airlines Pass-Through Certificates,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Series 2009-2, Class B, 9.25%, 5/10/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,990</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,044,841</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Delta Air Lines, Inc., Series 02G1, 6.72%, 7/02/24</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,205</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,177,782</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,366,111</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Auto Components &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Daimler Finance North America LLC, 2.63%,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>9/15/16 <FONT color=#231f20>(a)(c)</FONT></FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,640,229</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Delphi Corp., 6.13%, 5/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>969,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Icahn Enterprises LP:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.75%, 1/15/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,742,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.00%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,543,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,895,479</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Beverages &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Constellation Brands, Inc., 7.25%, 5/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,230</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,553,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Building Products &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Building Materials Corp. of America (a):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.00%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>790</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>837,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.75%, 5/01/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,930</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,002,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,839,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 5.4%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ameriprise Financial, Inc., 5.30%, 3/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,903,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>E*Trade Financial Corp., 12.50%, 11/30/17 (d)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,565</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,956,163</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Goldman Sachs Group, Inc. (c):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.50%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,738,972</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.25%, 2/01/41</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,579,371</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Macquarie Bank Ltd., 6.63%, 4/07/21 (a)(c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,415</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,344,689</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Morgan Stanley, 5.50%, 7/28/21 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,210</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,018,978</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UBS AG (c):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>2.25%, 1/28/14</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,678</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,668,565</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>5.88%, 7/15/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,627,038</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>38,837,701</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Chemicals &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ashland, Inc., 9.13%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>840</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>938,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Celanese US Holdings LLC, 5.88%, 6/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,560</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,720,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lyondell Chemical Co., 11.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,080</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,316,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Solutia, Inc., 7.88%, 3/15/20</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,425</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,524,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,500,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 4.3%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Amsouth Bank, Series AI, 4.85%, 4/01/13</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,732,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asciano Finance Ltd., 5.00%, 4/07/18 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,568,143</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Associated Banc-Corp, 5.13%, 3/28/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,645</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,760,907</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas, 3.60%, 2/23/16 (c)</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,790</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,782,180</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Branch Banking &amp; Trust Co. (b)(c):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>0.66%, 9/13/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,714,069</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>0.60%, 5/23/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>998,686</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>420</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>420,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,590</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,583,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,898</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,898,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>648,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Discover Bank, 8.70%, 11/18/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,205,528</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HSBC Holdings Plc, 5.10%, 4/05/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,769,738</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Regions Financial Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.88%, 4/26/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,046,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,887,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>31,015,401</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Services &amp; Supplies &#151; 3.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviation Capital Group Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 10/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14,519,221</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 4/06/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,707,204</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Casella Waste Systems, Inc., 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,201</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,152,960</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Clean Harbors, Inc., 7.63%, 8/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,379,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Corrections Corp. of America, 7.75%, 6/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,835</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,233,887</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Iron Mountain, Inc., 7.75%, 10/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>674,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Mobile Mini, Inc., 7.88%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>455</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>455,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>28,122,022</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Communications Equipment &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avaya, Inc., 9.75%, 11/01/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,239,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Brocade Communications Systems, Inc., 6.88%, 1/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,580</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,750,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>EH Holding Corp., 6.50%, 6/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>715,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,704,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Consumer Finance &#151; 4.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Express Credit Corp., 2.75%, 9/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,972,780</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capital One Bank USA NA, 8.80%, 7/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,691,858</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ford Motor Credit Co., LLC, 7.00%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,730</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,155,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,515</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,691,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SLM Corp., 6.25%, 1/25/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,205</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,205,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>30,716,388</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Containers &amp; Packaging &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ball Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,165,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.75%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,852,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Americas LLC, 6.25%, 2/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,417,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,105</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,207,213</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Rock-Tenn Co., 9.25%, 3/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sealed Air Corp., 8.38%, 9/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>220</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>238,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,729,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 10.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ally Financial, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.50%, 2/11/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,466,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.30%, 2/12/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,890</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,034,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.00%, 11/01/31</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,892,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bank of America Corp. (c):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.30%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,505</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,220,660</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.00%, 5/13/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>11,360,835</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Citigroup, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.38%, 8/12/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,321,020</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.59%, 12/15/15 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,645,585</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Countrywide Financial Corp., 6.25%, 5/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,351,026</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dolphin Subsidiary II, Inc., 7.25%, 10/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,475</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,581,938</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>General Electric Capital Corp., 5.30%, 2/11/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,274,645</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>General Motors Financial Co., Inc., 6.75%, 6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>830</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>837,597</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ING Bank NV, 5.00%, 6/09/21 (a)(c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,054,359</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 40 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->40<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_41"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services (concluded)</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intesa Sanpaolo SpA (c):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>2.38%, 12/21/12 (e)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,648,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 2/24/21 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>922</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>850,735</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>JPMorgan Chase &amp; Co., 3.15%, 7/05/16 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,382,424</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Moody's Corp., 6.06%, 9/07/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,570,290</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reynolds Group Issuer, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>420</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>428,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.88%, 8/15/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,536,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>360</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>363,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.25%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>795</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>729,413</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>WMG Acquisition Corp., 9.50%, 6/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>340</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>360,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>74,911,127</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Telecommunication Services &#151; 5.4%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AT&amp;T, Inc.:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>2.40%, 8/15/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,558,985</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.30%, 1/15/38 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,008,645</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>France Telecom SA, 4.13%, 9/14/21 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,125</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,159,007</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.75%, 2/15/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,267,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.13%, 7/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,407</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,362,930</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Qwest Corp., 8.38%, 5/01/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,285</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,753,112</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Telecom Italia Capital SA, 6.18%, 6/18/14</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,676,068</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Telefonica Emisiones SAU, 5.46%, 2/16/21 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,280,384</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verizon Communications, Inc. (c):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>1.95%, 3/28/14</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,754,331</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.35%, 4/01/39</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,488,148</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Windstream Corp., 7.88%, 11/01/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,580</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,706,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>39,015,910</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Electric Utilities &#151; 3.0%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dominion Resources, Inc., 8.88%, 1/15/19 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,580,224</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Duke Energy Corp., 3.55%, 9/15/21 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,901,922</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Progress Energy, Inc., 7.00%, 10/30/31 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,556,980</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Southern Co., 1.95%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,637,706</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>21,676,832</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Jabil Circuit, Inc., 8.25%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,392,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NXP BV, 3.15%, 10/15/13 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,802,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,194,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Energy Equipment &amp; Services &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ensco Plc, 4.70%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,255</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,424,898</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Frac Tech Services LLC, 7.63%, 11/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,795</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,875,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Key Energy Services, Inc., 6.75%, 3/01/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,267,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MEG Energy Corp., 6.50%, 3/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,580</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,647,150</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Oil States International, Inc., 6.50%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>835</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>874,662</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SunCoke Energy, Inc., 7.63%, 8/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>320</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>323,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,413,585</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food &amp; Staples Retailing &#151; 1.8%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CVS Caremark Corp., 6.30%, 6/01/62 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,816,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Wal-Mart Stores, Inc. (c):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.25%, 9/01/35</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,087,849</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.20%, 4/15/38</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,813,034</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,717,508</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food Products &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kraft Foods, Inc.:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 8/11/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,985</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,372,672</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.13%, 8/23/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,990</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,368,118</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Smithfield Foods, Inc., 10.00%, 7/15/14</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>668</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>776,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,517,340</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Gas Utilities &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Targa Resources Partners LP, 6.88%, 2/01/21 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>820</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>809,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Equipment &amp; Supplies &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,802,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Teleflex, Inc., 6.88%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>815</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>843,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,646,025</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Providers &amp; Services &#151; 3.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aetna, Inc., 6.75%, 12/15/37 (c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,576,640</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aviv Healthcare Properties LP, 7.75%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>765</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>738,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.50%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>265</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>291,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,780</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,959,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.25%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,590</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,917,038</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.50%, 2/15/22</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,365</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,432,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>INC Research LLC, 11.50%, 7/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,155</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,039,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>inVentiv Health, Inc., 10.00%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>840</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>806,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Tenet Healthcare Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>10.00%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,495,813</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.88%, 7/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,062,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UnitedHealth Group, Inc., 6.88%, 2/15/38</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,373,523</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>27,692,739</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Household Durables &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Cemex Espana Luxembourg, 9.25%, 5/12/20 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,947</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,920,498</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><B><FONT color=#394c87>Independent Power Producers &amp; Energy Traders &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AES Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>9.75%, 4/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,620</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,838,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.38%, 7/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>535</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>572,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Calpine Construction Finance Co. LP, 8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,265</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,347,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>730</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>759,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy Future Intermediate Holding Co., LLC,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>10.00%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,910</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,055,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NRG Energy, Inc., 7.38%, 1/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,820</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,936,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,509,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Insurance &#151; 4.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>American International Group, Inc., 6.40%, 12/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,932,572</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,975</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,688,137</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,650,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Genworth Financial, Inc., 7.63%, 9/24/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,615</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,459,847</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Manulife Financial Corp., 4.90%, 9/17/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,748,922</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>715</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>614,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Northwestern Mutual Life Insurance, 6.06%, 3/30/40 (a)(c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,445,884</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Principal Financial Group, Inc., 8.88%, 5/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,145</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,450,717</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Prudential Financial, Inc., 6.63%, 12/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,845,481</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>XL Group Ltd., 5.75%, 10/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,105</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,328,324</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>32,165,534</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>IT Services &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,180</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,103,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>First Data Corp. (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>7.38%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,205</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,192,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.25%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>145</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>137,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>12.63%, 1/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,490</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,408,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SunGard Data Systems, Inc., 7.38%, 11/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,610</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,646,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,488,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Life Sciences Tools &amp; Services &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bio-Rad Laboratories, Inc., 8.00%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,480</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,973,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Life Technologies Corp., 6.00%, 3/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,349,797</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>11,322,997</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Machinery &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Ingersoll-Rand Global Holding Co. Ltd., 9.50%, 4/15/14 (c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,790,317</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Navistar International Corp., 8.25%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,439</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,564,913</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,355,230</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Media</FONT></B> <B>&#151; 7.8</B><B>%</B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>655</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>710,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,851</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,438,277</FONT></TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="RIGHT" COLSPAN="2" STYLE="text-align: left"><FONT color=#231f20>Cengage Learning Acquisitions, Inc., 10.50%, 1/15/15 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>920,350</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Comcast Corp., 6.30%, 11/15/17 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,814,519</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cox Communications, Inc., 8.38%, 3/01/39 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,698,040</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CSC Holdings LLC:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.50%, 4/15/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,130</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,240,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.50%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,495,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.63%, 2/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,213,250</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 41; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->41<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_42"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Media (concluded)</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DIRECTV Holdings LLC, 5.00%, 3/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,542,955</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DISH DBS Corp., 7.00%, 10/01/13</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,062,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Luxembourg SA (d):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>11.50%, 2/04/17 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>11.50%, 2/04/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>630</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>630,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Interpublic Group of Cos., Inc., 10.00%, 7/15/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,975</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,261,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,760</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,830,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>News America, Inc., 6.15%, 3/01/37 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,326,372</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner Cable, Inc., 6.75%, 6/15/39</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,682,444</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Time Warner, Inc., 7.70%, 5/01/32 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,380,589</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Germany GmbH), 8.13%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,304,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Virgin Media Secured Finance Plc, 6.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,421,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>56,212,733</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Metals &amp; Mining &#151; 2.4%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alcoa, Inc., 5.40%, 4/15/21 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,090</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,052,618</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barrick Gold Corp., 2.90%, 5/30/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,925</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,998,654</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barrick North America Finance LLC, 5.70%, 5/30/41</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,275</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,644,107</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>FMG Resources August 2006 Property Ltd. (a):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 2/01/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>374,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.25%, 11/01/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>310</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>313,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Freeport-McMoRan Corp., 7.13%, 11/01/27</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,066,808</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Novelis, Inc., 8.75%, 12/15/20</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,610</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,754,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Teck Resources Ltd., 10.75%, 5/15/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,470,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>17,674,587</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><B><FONT color=#394c87>Multi-Utilities &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CenterPoint Energy, Inc.:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.95%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,053,917</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,601,904</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,655,821</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Multiline Retail &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>JC Penney Co., Inc., 5.65%, 6/01/20</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>12,400</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>11,687,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 12.5%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Alpha Natural Resources, Inc.:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.00%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>415</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>411,888</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.25%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,150,438</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Anadarko Petroleum Corp.:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.95%, 9/15/16</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,686</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,937,580</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.38%, 9/15/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>52</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>61,191</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Arch Coal, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>370</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>382,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 6/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,195</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,230,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BP Capital Markets Plc (c):</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>5.25%, 11/07/13</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,271,032</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>3.88%, 3/10/15</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,085</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,302,724</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Buckeye Partners LP, 4.88%, 2/01/21 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,737,729</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chesapeake Energy Corp., 6.13%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,745</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,017,887</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chesapeake Midstream Partners LP, 5.88%, 4/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>980</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>989,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>462,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Consol Energy, Inc., 6.38%, 3/01/21 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>745</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>741,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Copano Energy LLC, 7.13%, 4/01/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>930</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>950,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DCP Midstream LLC, 4.75%, 9/30/21 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,191,837</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Denbury Resources, Inc., 6.38%, 8/15/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>955</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>983,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Corp., 7.00%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,676,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>El Paso Pipeline Partners Operating Co., LLC,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.00%, 10/01/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>922,927</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enbridge Energy Partners LP, 9.88%, 3/01/19 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,425</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,247,788</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy XXI Gulf Coast, Inc., 7.75%, 6/15/19</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,717,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enterprise Products Operating LLC, 6.65%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,646,442</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Forest Oil Corp., 8.50%, 2/15/14</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,055</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,219,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Hilcorp Energy I LP, 7.75%, 11/01/15 (a)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,205,432</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kinder Morgan Energy Partners LP, 6.85%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,735,549</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Linn Energy LLC, 7.75%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,585</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,691,987</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Marathon Petroleum Corp., 3.50%, 3/01/16 (a)(c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,308,165</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MarkWest Energy Partners LP, 6.25%, 6/15/22 (f)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>880</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>902,000</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Newfield Exploration Co., 5.75%, 1/30/22</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>820</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>869,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Oasis Petroleum, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 2/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>560</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>590,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 11/01/21 (f)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>505</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>507,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>OGX Petroleo e Gas Participacoes SA, 8.50%, 6/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,930,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ONEOK Partners LP, 8.63%, 3/01/19 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,268,999</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrobras International Finance Co., 3.88%, 1/27/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,293,301</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petrohawk Energy Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.50%, 8/01/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,020</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,143,675</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.25%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,180</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,333,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pioneer Natural Resources Co.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.65%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,080</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,172,934</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>820</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>886,680</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Plains Exploration &amp; Production Co.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.75%, 6/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,348,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.00%, 3/01/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>777,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Precision Drilling Corp., 6.50%, 12/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>738,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Premier Oil, 5.00%, 6/09/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,876,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Range Resources Corp., 6.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,415</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,570,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,158,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SM Energy Co., 6.63%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>365</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>368,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Western Gas Partners LP, 5.38%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,685,186</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Williams Cos., Inc., 8.75%, 3/15/32</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,586,833</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>90,204,204</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Paper &amp; Forest Products &#151; 2.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Boise Paper Holdings LLC, 8.00%, 4/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,070</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,126,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Georgia-Pacific LLC, 8.25%, 5/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,955</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,385,458</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>International Paper Co.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.50%, 8/15/21 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,800,372</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.70%, 6/15/38</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,078,155</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.30%, 11/15/39</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,751,670</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Longview Fibre Paper &amp; Packaging, Inc., 8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>545</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>553,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verso Paper Holdings LLC, 11.50%, 7/01/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>590</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>619,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>20,314,505</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Pharmaceuticals &#151; 7.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bristol-Myers Squibb Co., 5.88%, 11/15/36 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,549</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,508,888</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38 (c)</FONT></TD>
     <TD align=right colSpan=2><FONT color=#231f20>10,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,651,897</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Merck &amp; Co., Inc. (c):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 12/01/33</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,885</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,945,800</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.55%, 9/15/37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,945</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,668,551</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pfizer, Inc., 7.20%, 3/15/39 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14,936,540</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Valeant Pharmaceuticals International,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.50%, 7/15/16 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Watson Pharmaceuticals, Inc., 6.13%, 8/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,495</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,082,716</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>51,244,392</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) &#151; 2.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AvalonBay Communities, Inc., 6.10%, 3/15/20 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,623,919</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Developers Diversified Realty Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,025</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>964,582</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.88%, 9/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,325</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,434,183</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ERP Operating LP, 5.75%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,080</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,559,730</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCP, Inc., 5.38%, 2/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,720,282</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UDR, Inc., 4.25%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,750,681</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,880</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,840,990</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>17,894,367</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Management &amp; Development &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Realogy Corp., 7.88%, 2/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>940</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>846,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Shea Homes LP, 8.63%, 5/15/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>805</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>728,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,574,525</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Road &amp; Rail &#151; 1.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>720</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>718,200</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Florida East Coast Railway Corp., 8.13%, 2/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>320</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>320,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Hertz Corp., 6.75%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,554</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,585,080</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Norfolk Southern Corp., 6.00%, 3/15/2105 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,831,695</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>12,454,975</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 42 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->42<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_43"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Par</B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Advanced Micro Devices, Inc., 7.75%, 8/01/20</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,319,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>KLA-Tencor Corp., 6.90%, 5/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,208</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,513,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,833,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Specialty Retail &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AutoNation, Inc., 6.75%, 4/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,775</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,879,063</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Best Buy Co., Inc., 5.50%, 3/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,050</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,003,661</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Limited Brands, Inc., 7.00%, 5/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,370</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,459,050</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>QVC, Inc., 7.38%, 10/15/20 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>190,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>VF Corp., 5.95%, 11/01/17 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,901,359</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,433,883</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Tobacco &#151; 4.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Altria Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>9.70%, 11/10/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,476,885</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>9.25%, 8/06/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,780</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,354,312</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>10.20%, 2/06/39</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,607</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,206,712</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lorillard Tobacco Co., 3.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,150</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,166,106</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Philip Morris International, Inc., 2.50%, 5/16/16 (c)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,366,614</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>30,570,629</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Wireless Telecommunication Services &#151; 4.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>America Movil SAB de CV, 2.38%, 9/08/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,455</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,443,020</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Tower Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>4.50%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,291,347</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>5.90%, 11/01/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,180</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,409,425</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cricket Communications, Inc., 7.75%, 5/15/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>780</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>809,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle International Corp., 9.00%, 1/15/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,602,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Crown Castle Towers LLC (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>5.50%, 1/15/37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,975</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,151,261</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>4.17%, 8/15/37</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,037,730</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.11%, 1/15/40</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,330</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,574,634</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Jackson Holdings SA, 7.25%, 4/01/19 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>320</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>321,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,040</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,027,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>SBA Tower Trust, 5.10%, 4/15/42 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,809,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sprint Capital Corp., 6.88%, 11/15/28</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>780</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>569,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>31,046,342</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Corporate Bonds &#151; 114.1%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>823,983,697</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Preferred Securities</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Capital Trusts</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 3.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Suisse Guernsey Ltd., 5.86% (b)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,050</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>908,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust III, 5.34% (b)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,740</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,742,958</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Capital Trust IV, 1.35%, 6/01/37 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>28,195</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>19,748,342</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>22,399,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 5.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays Bank Plc, 7.43% (a)(b)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,028,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BB&amp;T Capital Trust IV, 6.82%, 6/12/77 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15,300,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BNP Paribas, 7.20% (a)(b)(c)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,062,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit Agricole SA (a)(b)(c)(g):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>6.64<FONT color=#231f20>%</FONT></FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,654,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>8.38<FONT color=#231f20>%</FONT></FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,156,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dresdner Funding Trust I, 8.15%, 6/30/31 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,715</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,897,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HSBC Capital Funding LP/Jersey Channel Islands,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>10.18% (a)(b)(c)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,767,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>National City Preferred Capital Trust I, 12.00% (b)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,713</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,852,832</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Standard Chartered Plc, 7.01% (a)(b)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,477,080</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>42,197,087</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Capital Trusts</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Consumer Finance &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capital One Financial Corp. Capital V,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>10.25%, 8/15/39</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,275</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,319,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 3.6%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ING Capital Funding Trust III, 3.97% (b)(g)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,499,311</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>JPMorgan Chase Capital XXI, Series U, 1.21%, 2/02/37 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12,875</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,922,954</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>JPMorgan Chase Capital XXIII, 1.29%, 5/15/77 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,695</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>14,288,076</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>25,710,341</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Electric Utilities &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>PPL Capital Funding, 6.70%, 3/30/67 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,900</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,763,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Insurance &#151; 6.9%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ace Capital Trust II, 9.70%, 4/01/30</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,191,728</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Allstate Corp., 6.50%, 5/15/67 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,725,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American General Capital II, 8.50%, 7/01/30</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>294,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American International Group, Inc., 8.18%, 5/15/68 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,254,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aon Corp., 8.21%, 1/01/27</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,658,896</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AXA SA, 6.38% (a)(b)(g)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,245,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chubb Corp., 6.38%, 3/29/67 (b)(c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,020,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Liberty Mutual Group, Inc., 10.75%, 6/15/88 (a)(b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,860,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lincoln National Corp., 7.00%, 5/17/66 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,255</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,999,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MetLife, Inc., 6.40%, 12/15/66</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,469,638</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reinsurance Group of America, 6.75%, 12/15/65 (b)(c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,074,803</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Swiss Re Capital I LP, 6.85% (a)(b)(g)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,705,214</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ZFS Finance (USA), Trust II, 6.45%, 12/15/65 (a)(b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,696,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ZFS Finance (USA), Trust IV, 5.88%, 5/09/32 (a)(b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>599</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>581,030</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>49,775,509</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 1.2%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Enterprise Products Operating LLC, 8.38%, 8/01/66 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,657,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>TransCanada PipeLines Ltd., 6.35%, 5/15/67 (b)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,076,696</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,734,196</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Capital Trusts &#151; 21.3%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>153,899,808</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Preferred Stocks</FONT></B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Shares</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Auto Components &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Dana Holding Corp., 4.00% (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>866,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>SG Preferred Capital II, 6.30% (a)(b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,009,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Ally Financial, Inc., 7.00% (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,130</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,334,296</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Sovereign Real Estate Investment Trust, 12.00% (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,540,960</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Thrifts &amp; Mortgage Finance &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fannie Mae, Series S, 8.25% (b)(h)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>45,080</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Freddie Mac, Series Z, 8.38% (b)(h)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>49,220</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>94,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Wireless Telecommunication Services &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Centaur Funding Corp., 9.08% (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>11,559,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Preferred Stocks &#151; 3.4%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>24,404,556</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Trust Preferreds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>101,420</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,081,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><B><FONT color=#231f20>Total Trust Preferreds &#151; 0.3%</FONT></B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,081,700</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Preferred Securities &#151; 25.0%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>180,386,064</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 43; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->43<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_44"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 72%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Taxable Municipal Bonds</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>City of Chicago Illinois, RB, 6.85%, 1/01/38</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,433,750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Metropolitan Transportation Authority, RB, Build</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>America Bonds, 6.55%, 11/15/31</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,075</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,600,919</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Taxable Municipal Bonds &#151; 1.4%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10,034,669</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>US Government Sponsored Agency Securities</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Agency Obligations &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Fannie Mae, 4.23%, 10/09/19 (c)(i)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,765</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,090,268</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="4" STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total US Government Sponsored Agency Securities &#151; 0.3%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,090,268</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>US Treasury Obligations</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Treasury Bonds, 4.75%, 2/15/41 (c)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,505</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,856,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>US Treasury Notes, 2.13%, 8/15/21 (c)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,047</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,024,945</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><B><FONT color=#231f20>Total US Treasury Obligations &#151; 1.5%</FONT></B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,881,445</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total Long-Term Investments</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>(Cost &#151; $1,018,748,047) &#151; 143.3%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,034,611,319</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Short-Term Securities</FONT></B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Shares</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BlackRock Liquidity Funds, TempFund, Institutional</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Class, 0.14% (j)(k)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,823,108</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,823,108</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="4" STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Short-Term Securities (Cost &#151; $3,823,108) &#151; 0.5%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3,823,108</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total Investments Before Options Written</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>(Cost &#151; $1,022,571,155*) &#151; 143.8%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,038,434,427</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="7" STYLE="border-top: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Options Written</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Notional</FONT></B><BR>
<B>Amount</B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Over-the-Counter Call Swaptions &#151; (0.6)%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pay a fixed rate of 4.06% and receive a floating rate</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>based on 3-month LIBOR, Expires 4/16/12, Broker</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1,875,818</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pay a fixed rate of 4.75% and receive a floating</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>rate based on 3-month LIBOR, Expires 3/24/14,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Broker Citibank NA</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(2,679,963</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(4,555,781</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Over-the-Counter Put Swaptions &#151; (0.1)%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Receive a fixed rate of 4.06% and pay a floating rate</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>based on the 3-month LIBOR, Expires 4/16/12,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Broker Deutsche Bank AG</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(19,481</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Receive a fixed rate of 4.75% and pay a floating</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>rate based on 3-month LIBOR, Expires 3/24/14,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Broker Citibank NA</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(308,645</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(328,126</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total Options Written</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>(Premiums Received &#151; $2,923,700) &#151; (0.7)%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(4,883,907</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total Investments, Net of Options Written &#151; 143.1%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,033,550,520</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Liabilities in Excess of Other Assets &#151; (43.1)%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(311,213,345</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Net Assets &#151; 100.0%</FONT></B></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>722,337,175</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 8pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 72%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Aggregate cost</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,021,961,207</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Gross unrealized appreciation</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>51,500,873</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Gross unrealized depreciation</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(35,027,653</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Net unrealized appreciation</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>16,473,220</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(a)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(b)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Variable rate security. Rate shown is as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(c)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(d)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(e)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">All or a portion of security has been pledged as collateral
in connection with swaps.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(f)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">When-issued security. Unsettled when-issued transactions
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 66%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 15%; text-align: right"></TD>
     <TD STYLE="width: 2%; text-align: right"></TD>
     <TD STYLE="width: 15%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B>Value</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B>Unrealized</B><BR>
<B>Appreciation</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Barclays Capital, Inc.</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>902,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>22,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>JPMorgan Chase Bank NA</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>507,525</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-indent: 6pt; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,525</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(g)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security is perpetual in nature and has no stated maturity
date. &nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(h)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20"> Non-income producing security.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(i)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(j)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 20%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Affiliate</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Shares Held at</font></b><br>

<b>October 31,</b><br>

<b>2010</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net</font></b><br>

<b>Activity</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Shares Held at</font></b><br>

<b>October 31,</b><br>

<b>2011</b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Income</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BlackRock Liquidity</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Funds, TempFund,</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Institutional Class</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>26,924,664</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>(23,101,556)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>3,823,108</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>$23,892</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(k)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents the current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For Fund compliance purposes, the Fund&#146;s industry
classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes
or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <td style="width: 29%"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <td style="width: 13%; text-align: center"></td>
    <td style="width: 13%; text-align: center"></td>
    <td style="width: 2%"></td>
    <td style="width: 13%"></td>
    <td style="width: 2%"></td>
    <td style="width: 13%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid; vertical-align: bottom"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Interest</font></b><br>

<b>Rate</b></td>
    <td style="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Trade <br>

Date</font></b></td>
    <td style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Maturity<br>

Date</font></b><b><sup><font color=#231f20>1</font></sup></b></td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Closing</font></b><br>

<b>Amount</b></td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Face</font></b><br>

<b>Amount</b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>5/10/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right"><font color=#231f20>$</font></td>
    <td style="text-align: right"><font color=#231f20>12,530,805</font></td>
    <td style="text-align: right"><font color=#231f20>$</font></td>
    <td style="text-align: right"><font color=#231f20>12,507,700</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>5/18/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,649,942</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,640,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>5/19/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,001,250</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,996,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>5/31/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>12,319,993</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>12,300,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>6/9/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>14,908,486</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>14,887,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>6/10/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>11,466,678</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>11,449,275</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>6/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>7,188,107</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>7,177,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>6/15/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>15,070,924</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>15,048,844</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.37%</font></td>
    <td style="text-align: center"><font color=#231f20>6/22/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>8,259,128</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>8,247,938</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.37%</font></td>
    <td style="text-align: center"><font color=#231f20>6/27/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,206,787</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,200,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>6/29/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,571,159</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,562,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.31%</font></td>
    <td style="text-align: center"><font color=#231f20>6/30/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,158,497</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,154,062</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>7/01/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,585,777</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,580,300</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>7/05/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>8,856,485</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>8,846,250</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>7/11/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,012,603</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,008,200</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>7/12/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,557,332</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,552,375</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.32%</font></td>
    <td style="text-align: center"><font color=#231f20>7/12/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,777,982</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,774,225</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 44 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->44<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_45"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (continued):&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <td style="width: 29%"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <td style="width: 13%; text-align: center"></td>
    <td style="width: 13%; text-align: center"></td>
    <td style="width: 2%"></td>
    <td style="width: 13%"></td>
    <td style="width: 2%"></td>
    <td style="width: 13%"></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Interest</font></b><br>

<b>Rate</b></td>
    <td style="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Trade<br>

Date</font></b></td>
    <td style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Maturity<br>

Date</font></b><b><sup><font color=#231f20>1</font></sup></b></td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Closing</font></b><br>

<b>Amount</b></td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Face</font></b><br>

<b>Amount</b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>7/19/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right"><font color=#231f20>$</font></td>
    <td style="text-align: right"><font color=#231f20>13,843,993</font></td>
    <td style="text-align: right"><font color=#231f20>$</font></td>
    <td style="text-align: right"><font color=#231f20>13,829,875</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/01/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>8,146,030</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>8,138,750</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.03%</font></td>
    <td style="text-align: center"><font color=#231f20>8/04/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,022,056</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,021,906</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>8/05/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,290,738</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,288,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/11/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>904,280</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>903,560</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/15/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,541,557</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,536,600</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.37%</font></td>
    <td style="text-align: center"><font color=#231f20>8/17/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,882,911</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,879,100</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/18/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,655,340</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,651,219</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/18/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,167,336</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,164,300</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>8/22/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,801,223</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,799,125</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/26/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,617,944</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,614,938</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/26/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,657,230</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,655,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>8/31/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,972,348</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,968,750</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/08/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,103,703</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,100,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/08/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>9,267,377</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>9,262,514</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/08/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,444,082</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,441,750</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>9/08/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,312,784</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,309,188</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.39%</font></td>
    <td style="text-align: center"><font color=#231f20>9/09/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,284,325</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,282,440</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/09/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,339,883</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,338,163</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>9/09/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,211,781</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,208,125</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.39%</font></td>
    <td style="text-align: center"><font color=#231f20>9/09/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,657,551</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,656,600</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>9/09/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>12,480,478</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>12,473,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/09/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,486,969</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,485,688</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>9/12/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,770,399</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,767,750</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right"><font color=#231f20></font></td>
    <td style="text-align: right"><font color=#231f20>3,287,596</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,286,063</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>9/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>7,318,995</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>7,315,094</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>9,706,778</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>9,702,250</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>9/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,637,663</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>6,634,125</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,654,522</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,653,750</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>9/19/11</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Open</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,178,268</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,176,750</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Reverse repurchase agreements outstanding as of October
31, 2011 were as follows (concluded):&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <td style="width: 29%"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <td style="width: 13%; text-align: center"></td>
    <td style="width: 13%; text-align: center"></td>
    <td style="width: 2%"></td>
    <td style="width: 13%; text-align: right"></td>
    <td style="width: 2%"></td>
    <td style="width: 13%"></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Counterparty</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Interest</font></b><br>

<b>Rate</b></td>
    <td style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Trade <br>

Date</font></b></td>
    <td style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Maturity <br>

Date</font></b><b><sup><font color=#231f20>1</font></sup></b></td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Closing</font></b><br>

<b>Amount</b></td>
    <td style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <td style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Face</font></b><br>

<b>Amount</b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>9/20/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right"><font color=#231f20>$</font></td>
    <td style="text-indent: 6pt; text-align: right"><font color=#231f20>2,731,115</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <td style="text-align: right"><font color=#231f20>2,730,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>9/23/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>5,237,457</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,235,188</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Barclays Capital Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>9/30/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>3,795,812</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,794,462</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.40%</font></td>
    <td style="text-align: center"><font color=#231f20>10/04/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>1,076,116</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,075,780</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>10/13/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>4,426,443</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>4,425,624</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>10/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>2,070,362</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,070,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>10/14/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>1,113,422</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,113,210</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Deutsche Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.08%</font></td>
    <td style="text-align: center"><font color=#231f20>10/25/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>5,856,591</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,856,500</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="text-align: center"><font color=#231f20>10/27/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 6pt; text-align: right"><font color=#231f20>10,890,575</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>10,890,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BNP Paribas</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.08%</font></td>
    <td style="text-align: center"><font color=#231f20>10/31/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>5,034,394</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,034,382</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.35%</font></td>
    <td style="text-align: center"><font color=#231f20>10/31/11</font></td>
    <td style="text-align: center"><font color=#231f20>Open</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-indent: 12pt; text-align: right"><font color=#231f20>5,915,058</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>5,915,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>UBS Securities LLC</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>0.38%</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>10/31/11</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Open</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-indent: 12pt; text-align: right"><font color=#231f20>2,684,008</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,683,980</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>339,599,428</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>339,303,168</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Certain agreements have no stated maturity and can be
terminated by either party at anytime.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Financial futures contracts purchased as of October 31,
2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 18%; text-align: center"></td>
    <TD STYLE="width: 19%"></td>
    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 14%"></td>
    <TD STYLE="width: 3%; text-align: right"></td>
    <TD STYLE="width: 14%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Contracts </font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Issue</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Exchange</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Expiration</font></b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid">
      <p><b><font color=#231f20>Notional </font></b><br>

<b>Value </b></p>
    </td>
    <TD COLSPAN="2" STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B>Unrealized <BR> Appreciation</B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center"><font color=#231f20>13</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2-Year US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Treasury Note</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,863,656</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,803</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Financial futures contracts sold as of October 31, 2011
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 18%"></td>
    <TD STYLE="width: 19%"></td>
    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 14%"></td>
    <TD STYLE="width: 3%"></td>
    <TD STYLE="width: 14%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><b><font color=#231f20>Contracts </font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Issue</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Exchange</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Expiration</font></b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Notional</font></b><br>

<b>Value</b></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Unrealized</font></b><br>

<b>Appreciation</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center"><font color=#231f20>1,230</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10-Year US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>Treasury Note</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>158,746,875</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>128,820</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center"><font color=#231f20>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Ultra US</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Chicago Board</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>December</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Treasury Bond</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>of Trade</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>2011</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>761,875</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>24,054</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20></font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>152,874</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 45; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->45<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_46"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="53%"></TD>
     <TD width="46%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR></TABLE>


<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif">                                                                                                                          <TR STYLE="vertical-align: top">
<TD STYLE="text-align: right">&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on single-name issues &#151; buy
protection outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <td style="width: 22%"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <td style="width: 24%; text-align: center"></td>
    <td style="width: 12%; text-align: center"></td>
    <TD STYLE="width: 12%; text-align: center"></td>
    <td style="width: 2%"></td>
    <td style="width: 12%"></td>
    <td style="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid; vertical-align: bottom"><b><font color=#231f20>Issuer</font></b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Pay</font></b><br>

<b>Fixed</b><br>

<b>Rate</b></td>
    <td style="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Counterparty</font></b></td>
    <td style="border-top: Black 1pt solid; text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration<br>

Date</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>
<b><font color=#231f20>Notional<br>

&nbsp;Amount <br>

</font></b>(000</font></b><b>)</b>
</td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>
<b><font color=#231f20>&nbsp;Unrealized<br>

Appreciation<br>

</font></b>(Depreciation)</font></b>
</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <td style="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$1,800</font></td>
    <td style="text-align: right"><font color=#231f20>$</font></td>
    <td style="text-align: right"><font color=#231f20>10,179</font></td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Raytheon Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <td style="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$1,910</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1,498</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>General</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>JPMorgan</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Dynamics</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>Chase</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>Bank &amp; Co.</font></td>
    <td style="text-align: center"><font color=#231f20>9/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$4,125</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>35,529</font></td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dell, Inc.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>Barclays Bank Plc</font></td>
    <td style="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$4,415</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(29,673</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Computer</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>Securities</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Sciences Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>(USA) LLC</font></td>
    <td style="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$1,965</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(39,906</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Lockheed Martin</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>Deutsche</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Corp.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>Bank AG</font></td>
    <td style="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$5,025</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>53,305</font></td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Northrop</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>Deutsche</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Grumman Corp. </font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>Bank AG</font></td>
    <td style="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$2,140</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(6,083</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>Goldman Sachs</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Airlines Co.</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="text-align: center"><font color=#231f20>Capital Markets LP </font></td>
    <td style="text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$1,965</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(463</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Southwest</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font color=#231f20>Royal Bank</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Airlines Co.</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>1.00%</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>of Scotland Plc</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>12/20/16</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>$1,965</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(8,924</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12,466</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on single-name issues &#151; sold
protection outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom"><font style="color: #231f20"><b>Issuer</b></font></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom"><font style="color: #231f20"><b>Receive<br>
       </b></font><b>Fixed<br>
       Rate</b> </td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom"><font style="color: #231f20"><b>Counterparty</b></font></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom"><font style="color: #231f20"><b>Expiration<br>
    Date</b></font></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><font style="color: #231f20"><b>Issuer<br>
    Credit<br>
    Rating<sup>1</sup></b></font></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><font style="color: #231f20"><b>Notional<br>
    Amount<br>
    (000)<sup>2</sup></b></font></td>
    <TD STYLE="text-align: left; border-top: Black 1pt solid; border-bottom: Black 1pt solid"></td>
    <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b>Unrealized<br>
       Appreciation<br>
       (Depreciation)</b> </td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; width: 20%">&nbsp;</td>
    <TD STYLE="text-align: center; width: 10%">&nbsp;</td>
    <td style="text-align: center; width: 19%"><font style="color: #231f20">Deutsche</font></td>
    <td style="text-align: center; width: 10%">&nbsp;</td>
    <TD STYLE="text-align: center; width: 10%">&nbsp;</td>
    <TD STYLE="text-align: center; width: 10%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <td style="text-align: left; width: 10%">&nbsp;</td>
    <td style="text-align: left; width: 5%">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font style="color: #231f20">Aviva USA Corp.</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">1.00%</font></td>
    <td style="text-align: center"><font style="color: #231f20">Bank AG</font></td>
    <td style="text-align: center"><font style="color: #231f20">5/25/12</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">AA-</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">$4,525</font></td>
    <TD STYLE="text-align: left"><font style="color: #231f20">$</font></td>
    <td style="text-align: right"><font style="color: #231f20">8,182</font></td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font style="color: #231f20">Assured</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font style="color: #231f20">Guaranty Corp.</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">5.00%</font></td>
    <td style="text-align: center"><font style="color: #231f20">Citibank NA </font></td>
    <td style="text-align: center"><font style="color: #231f20">12/20/14</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">AA+</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">$&nbsp; &nbsp;300</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font style="color: #231f20">(1,673</font></td>
    <td style="text-align: left"><font style="color: #231f20">)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font style="color: #231f20">Assured</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font style="color: #231f20">Guaranty Corp.</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">5.00%</font></td>
    <td style="text-align: center"><font style="color: #231f20">Citibank NA</font></td>
    <td style="text-align: center"><font style="color: #231f20">3/20/15</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">AA+</font></td>
    <TD STYLE="text-align: center"><font style="color: #231f20">$1,275</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font style="color: #231f20">2,043</font></td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center"><font style="color: #231f20">Deutsche</font></td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left"><font style="color: #231f20">MetLife, Inc.</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">1.00%</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">Bank AG</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">3/20/18</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">A+</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">$1,500</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font style="color: #231f20">(73,318</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font style="color: #231f20">)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font style="color: #231f20"><b>Total</b></font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <td style="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font style="color: #231f20">$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font style="color: #231f20">(64,766</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font style="color: #231f20">)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Using S&amp;P&#146;s rating.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The maximum potential amount the Fund may pay should
a negative credit event take place as defined under the terms of agreement.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps on traded indexes &#151; buy protection
outstanding as of October 31, 2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="text-align: left; width: 16%; border-top: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom"><font style="color: #231f20"><b>Index</b></font></td>
    <TD STYLE="text-align: center; width: 16%; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><font style="color: #231f20"><b>Pay<br>
     </b></font><b>Fixed<br>
     Rate</b></td>
    <TD STYLE="text-align: center; width: 17%; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><font style="color: #231f20"><b>Counterparty</b></font></td>
    <TD STYLE="text-align: center; width: 17%; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><font style="color: #231f20"><b>Expiration<br>
     </b></font><b>Date</b></td>
    <TD STYLE="text-align: center; width: 17%; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><font style="color: #231f20"><b>Notional<br>
     </b></font><b><font style="color: #000000">Amount<br>
     (000)</font></b></td>
    <TD STYLE="text-align: center; width: 17%; vertical-align: bottom; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><br>
     <b>&nbsp;Unrealized<br>
     &nbsp;Depreciation</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font style="color: #231f20">Dow Jones</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font style="color: #231f20">CDX North</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font style="color: #231f20">America High</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font style="color: #231f20">JPMorgan</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font style="color: #231f20">Yield Index</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center"><font style="color: #231f20">Chase Bank</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><font style="color: #231f20">Series 17</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">5.00%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">&amp; Co.</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">12/20/16</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">$7,350</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font style="color: #231f20">$ (704,267)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Interest rate swaps outstanding as of October 31, 2011
were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 16%; text-align: left"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 25%; text-align: center"></td>
    <TD STYLE="width: 18%; text-align: center"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%; text-align: left"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: left"><b><font color=#231f20>Fixed</font></b><br>

<b>Rate</b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Floating</font></b><br>

<b>Rate</b></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><b><font color=#231f20>Counter-</font></b><br>

<b>party</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Expiration</font></b><br>

<b>Date</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b>Notional<br>

Amount<br>

(000</b><b>)</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Unrealized<br>

Appreciation<br>

(Depreciation)</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>0.63</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">
      <DIV STYLE="text-align: left"></div>
    </td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities (USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/21/13</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>106,800</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>142,050</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>0.64</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/21/13</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>102,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>160,612</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>0.60</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>11/01/13</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>209,200</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(148,024</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.32</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>3/28/16</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,900</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>358,857</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>1.49</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/14/16</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,200</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(60,532</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.72</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>8/08/21</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>19,400</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>723,840</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.39</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/14/21</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,300</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>19,519</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>4.35</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>4/15/41</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>5,000</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,393,426</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>3.93</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Citibank NA</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>7/21/41</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>9,200</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,791,887</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.63</font><sup><font color=#231f20>(a)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Deutsche Bank AG</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>9/26/41</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,200</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(219,877</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2.81</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Securities (USA) LLC</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>10/11/41</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,200</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>105,492</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>3.00</font><sup><font color=#231f20>(b)</font></sup></td>
    <TD STYLE="text-align: center"><font color=#231f20>3-month</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>Credit Suisse</font></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>LIBOR</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>Securities (USA) LLC</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>10/18/41</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,100</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(13,171</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(2,116,547</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(a)</SUP>&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Pays a fixed interest rate and receives floating rate.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>(b)</SUP>&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Pays floating interest rate and receives fixed rate.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fair Value Measurements &#151; Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 1 &#151; unadjusted price quotations in active
markets/exchanges for identical assets and liabilities&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 2 &#151; other observable inputs (including, but
not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar
assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities
(such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other
market-corroborated inputs)&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 3 &#151; unobservable inputs based on the best
information available in the circumstances, to the extent observable inputs are not available (including the Fund's own assumptions
used in determining the fair value of investments and derivative financial instruments)&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="text-align: left"><FONT STYLE="color: #231f20">Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 46 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->46<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->

<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="54%"></TD>
     <TD width="45%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Fund&#146;s investments and derivative financial instruments:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%; text-align: right; vertical-align: bottom"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%; text-align: right; vertical-align: bottom"></td>
    <TD STYLE="width: 10%; text-align: right; vertical-align: bottom"></td>
    <TD STYLE="width: 2%; text-align: right; vertical-align: bottom"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Valuation Inputs</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 1</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 2</font></b></td>
    <TD STYLE="text-indent: 6pt; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <td colspan="2" style="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 3</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="text-indent: 12pt; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-indent: 12pt; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Assets:</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Long-Term</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Asset-Backed</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,825,176</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,410,000</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom"><font color=#231f20>$</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom"><font color=#231f20>7,235,176</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corporate</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>818,107,697</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,876,000</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom"><font color=#231f20>823,983,697</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Preferred</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; text-indent: 12pt"><font style="color: #231f20">Securities </font></td>
    <TD STYLE="text-align: right"><font style="color: #231f20">$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,176,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>178,210,064</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom"><font color=#231f20>180,386,064</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Taxable</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Municipal</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>10,034,669</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom"><font color=#231f20>10,034,669</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>US Government</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Sponsored</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Agency</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,090,268</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom"><font color=#231f20>2,090,268</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>US Treasury</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Obligations .</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>10,881,445</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom"><font color=#231f20>10,881,445</font></td>
    <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Short-Term</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,823,108</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom"><font color=#231f20>3,823,108</font></td>
    <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font style="color: #231f20">$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5,999,108</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,023,149,319</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>9,286,000</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom"><font color=#231f20>1,038,434,427</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom">&nbsp;</td>
  </tr>

<tr>

    <TD></td>
    <TD STYLE="text-align: right; vertical-align: bottom"></td>
    <TD></td>
    <TD></td>
    <TD></td>
    <TD></td>
    <TD STYLE="text-align: left; vertical-align: bottom"></td>
    <TD></td>
    <TD></td>
    <TD></td>
    <TD></td>
    <TD></td>
  </tr>

    <TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-indent: 6pt; text-align: center; vertical-align: bottom">&nbsp;</TD></TR>
<tr valign=bottom>

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Valuation Inputs</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 1</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom"><font style="color: #231f20"><b>Level 2</b></font></td>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 3</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <td colspan="2" style="text-indent: 6pt; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Total</font></b></td>
  </tr>

  <tr valign=bottom>

    <td align=left colspan=4><font color=#231f20>Derivative Financial Instruments</font><sup><font color=#231f20>1</font></sup></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Assets:</font></b></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Interest rate</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom"><font color=#231f20></font>$</td>
    <TD STYLE="text-align: right">154,677</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,510,370</font></td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>1,665,047</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Credit</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>101,056</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>8,182</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>109,238</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Liabilities</font></b><font color=#231f20>:</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Interest rate</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(8,510,824</font></td>
    <TD STYLE="text-align: left; vertical-align: bottom"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(8,510,824</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Credit</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>contracts</font></td>
    <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(865,805</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(865,805</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: right; width: 2%; vertical-align: bottom; border-bottom: Black 2pt solid"><font color=#231f20></font>$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 10%">&nbsp;&nbsp;&nbsp;&nbsp;<font color=#231f20>154,677</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 2%"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 10%"><font color=#231f20>(7,765,203</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom; width: 2%"><font style="color: #231f20">) </font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 2%"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 10%"><font color=#231f20>8,182</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 2%"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; width: 10%"><font color=#231f20>(7,602,344</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left; width: 2%"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Derivative financial instruments are swaps, financial
futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange
contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 54%"></TD>
     <TD STYLE="width: 2%; text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="width: 12%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Asset-Backed</FONT></B><BR>
<B>Securities</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Corporate</FONT></B><BR>
<B>Bonds</B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><B><FONT color=#231f20>Total</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>280,170</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>280,170</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>34,142</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(559</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>33,583</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(388,606</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>229,389</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(159,217</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,764,464</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,650,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,414,464</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(283,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(283,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3,410,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5,876,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9,286,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(162,606).&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 83%"></TD>
     <TD STYLE="width: 2%; text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="width: 11%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Credit</B><BR>
<B>Contracts</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,812</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,182</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Issuances</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,949</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Settlements</FONT><SUP><FONT color=#231f20>6</FONT></SUP></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(37,761</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>8,182</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $8,182.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Issuances represent upfront cash received on certain
derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>6&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

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<P STYLE="text-align: left"></P><A name="page_48"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="56%"></TD>
     <TD width="43%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments </FONT><FONT color=#394c87>October 31, 2011</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Asset-Backed Securities</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ARES CLO Funds, Series 2005-10A, Class B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.74%, 9/18/17 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>888,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ballyrock CDO Ltd., Series 2006-1A, Class B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.67%, 8/28/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>780,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.83%, 6/19/21 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>930</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>735,435</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chatham Light CLO Ltd., Series 2005-2A, Class A2,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.66%, 8/03/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>840,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Flagship CLO, Series 2006-1A, Class B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.70%, 9/20/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,196</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>879,060</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Franklin CLO Ltd., Series 6A, Class B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.72%, 8/09/19 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,180</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>944,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gannett Peak CLO Ltd., Series 2006-1X, Class A2,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.78%, 10/27/20 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>715</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>529,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Greyrock CDO Ltd., Series 2005-1X, Class A2L,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.71%, 11/15/17 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,495</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,200,635</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Landmark CDO Ltd., Series 2006-8A, Class B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>0.77%, 10/19/20 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,335</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,044,824</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MAPS CLO Fund LLC, Series 2005-1A, Class C,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>1.30%, 12/21/17 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>705</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600,590</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>1.74%, 11/15/21 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>787,835</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>1.00%, 7/15/19 (a)(b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>815</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>730,207</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Asset-Backed Securities &#151; 3.0%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9,960,136</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Common Stocks (c)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B><FONT color=#231f20>Shares</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Construction &amp; Engineering &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>USI United Subcontractors Common</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,645</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>61,156</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Hotels, Restaurants &amp; Leisure &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BLB Worldwide Holdings, Inc.</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>50,832</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>304,992</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Metals &amp; Mining &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Euramax International</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,135</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>340,560</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Paper &amp; Forest Products &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ainsworth Lumber Co. Ltd.</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>55,255</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>84,261</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ainsworth Lumber Co. Ltd. (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>62,685</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>95,592</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>179,853</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Software &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bankruptcy Management Solutions, Inc.</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,947</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>30</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HMH Holdings/EduMedia</FONT></TD>
     <TD align=right colSpan=2><FONT color=#231f20>115,632</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>173,448</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>173,478</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Total Common Stocks &#151; 0.3%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,060,039</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Airlines &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Air Canada, 9.25%, 8/01/15 (a)</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>590</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>564,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Airlines Pass-Through Trust, Series 2011-2,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Class A, 8.63%, 4/15/23</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>345</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>345,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>909,925</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Auto Components &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Icahn Enterprises LP, 7.75%, 1/15/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,175</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,254,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Beverages &#151; 0.7%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Central European Distribution Corp., 3.32%, 5/15/14</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,701,951</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Refresco Group BV, 5.54%, 5/15/18 (a)(b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>671,095</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,373,046</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Building Products &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Grohe Holding GmbH, 5.53%, 9/15/17 (a)(b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>891,171</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>E*Trade Financial Corp., 3.35%, 8/31/19 (a)(d)(e)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>439</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>460,401</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Chemicals &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Lyondell Chemical Co., 11.00%, 5/01/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>700</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>779,625</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Banks &#151; 3.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CIT Group, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/01/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,542</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,542,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.00%, 5/02/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>399,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>VTB Capital SA:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.47%, 3/04/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,120,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 5/29/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,940</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,122,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,633,225</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Services &amp; Supplies &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>817</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>813,130</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Containers &amp; Packaging &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550,713</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ball Corp., 5.75%, 5/15/21</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>645,312</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>GCL Holdings SCA, 9.38%, 4/15/18 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>329</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>409,713</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>270</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>294,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Smurfit Kappa Acquisitions (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>655</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>928,982</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.75%, 11/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>416</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>592,888</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,422,583</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 1.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ally Financial, Inc., 2.53%, 12/01/14 (b)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,619,099</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>FCE Bank Plc, 4.75%, 1/19/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>619,552</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reynolds Group Issuer, Inc. (a):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.13%, 4/15/19</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>655</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>668,100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.88%, 8/15/19</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>313,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.88%, 2/15/21</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>490</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>494,900</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,715,151</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Telecommunication Services &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>530</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>535,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Energy Equipment &amp; Services &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Compagnie Generale de Geophysique &#151; Veritas,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>7.75%, 5/15/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>45</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>46,631</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Providers &amp; Services &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HCA, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>6.50%, 2/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,445</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,513,637</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.25%, 9/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,317,637</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>7.50%, 2/15/22</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>515</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>525,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Omnicare, Inc., 7.75%, 6/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>685</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>738,088</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Tenet Healthcare Corp., 9.00%, 5/01/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>95</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>100,938</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,195,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Hotels, Restaurants &amp; Leisure &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MGM Resorts International:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>10.38%, 5/15/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>705</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>786,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>11.13%, 11/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,050</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,191,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,977,825</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Household Durables &#151; 0.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,606,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Berkline/Benchcraft LLC, 4.50%, 11/03/12 (c)(f)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,606,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Independent Power Producers &amp; Energy Traders &#151; 2.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Calpine Corp., 7.25%, 10/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,328,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy Future Holdings Corp., 10.00%, 1/15/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,045,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Energy Future Intermediate Holding Co. LLC,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>10.00%, 12/01/20</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,350</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,467,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,840,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>IT Services &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>First Data Corp., 7.38%, 6/15/19 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>940</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>930,600</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 48 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->48<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_49"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%; text-align: left; vertical-align: bottom"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><B><FONT color=#231f20>Corporate Bonds</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Machinery &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT color=#231f20>KION Finance SA, 5.82%, 4/15/18 (a)(b)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,320,880</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Media</FONT></B> <B>&#151; 4.2</B><B>%</B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>CCH II LLC, 13.50%, 11/30/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>224</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>257,652</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Clear Channel Worldwide Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>9.25%, 12/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>501</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>541,080</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>Series B, 9.25%, 12/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,704</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,848,840</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Kabel BW Erste Beteiligungs GmbH, 5.78%,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 6pt"><FONT color=#231f20>3/15/18 (a)(b)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,739,726</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Odeon &amp; UCI Finco Plc, 9.00%, 8/01/18 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>GBP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>914</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,432,880</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 6pt"><FONT color=#231f20>Germany GmbH):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>8.13%, 12/01/17 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,662,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 12pt"><FONT color=#231f20>8.13%, 12/01/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>719,524</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Virgin Media Secured Finance Plc, 7.00%, 1/15/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>GBP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,197</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,073,818</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Ziggo Finance BV, 6.13%, 11/15/17 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,005</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,411,478</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>13,687,498</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Metals &amp; Mining &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT color=#231f20>New World Resources NV, 7.88%, 5/01/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>285</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>368,721</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 4.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Alpha Natural Resources, Inc., 6.00%, 6/01/19</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>460</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>456,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>342</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>368,505</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Gazprom OAO Via RBS AG, 9.63%, 3/01/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,230</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,873,470</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>KazmunaiGaz Finance Sub BV, 8.38%, 7/02/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,597,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Petroleos de Venezuela SA, 5.25%, 4/12/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,465,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Plains Exploration &amp; Production Co., 7.00%, 3/15/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>580</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>601,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>13,362,775</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Paper &amp; Forest Products &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>532</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>351,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Longview Fibre Paper &amp; Packaging, Inc., 8.00%, 6/01/16 (a)</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>420</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>426,300</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>333,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,110,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Pharmaceuticals &#151; 0.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Valeant Pharmaceuticals International, 6.50%,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 6pt; border-bottom: Black 1pt solid"><FONT color=#231f20>7/15/16 <FONT color=#231f20>(a)</FONT></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>1,045</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>1,045,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Specialty Retail &#151; 0.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT color=#231f20>House of Fraser Plc, 8.88%, 8/15/18 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>GBP</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>349</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>479,812</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Transportation Infrastructure &#151; 0.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT color=#231f20>Aguila 3 SA, 7.88%, 1/31/18 (a)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>CHF</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,100</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,215,539</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Wireless Telecommunication Services &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Cricket Communications, Inc., 7.75%, 5/15/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,023,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>iPCS, Inc., 2.38%, 5/01/13 (b)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,155</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,045,275</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,068,400</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><B><FONT color=#231f20>Total Corporate Bonds &#151; 24.6%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>81,044,963</FONT></TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="6" STYLE="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left; vertical-align: bottom"><B><FONT color=#231f20>Floating Rate Loan Interests (b)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Aerospace &amp; Defense &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>DynCorp International, Term Loan, 6.25% &#150; 6.75%, 7/05/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>537,349</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Hawker Beechcraft Acquisition Co., LLC, Facility Deposit,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 6pt"><FONT color=#231f20>2.37%, 3/26/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>49</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>35,921</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>SI Organization, Inc., Term Loan B, 4.50%, 11/22/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,086</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,020,502</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,985</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,976,723</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Wesco Aircraft Hardware Corp., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom; text-indent: 6pt"><FONT color=#231f20>4.25%, 4/07/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>833</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>835,423</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,405,918</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; vertical-align: bottom"><B><FONT color=#394c87>Airlines &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom"><FONT color=#231f20>Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,020</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,962,713</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><B><FONT color=#231f20>Floating Rate Loan Interests (b)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Auto Components &#151; 2.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Allison Transmission, Inc., Term Loan, 2.75%, 8/07/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,564</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,441,415</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Autoparts Holdings Ltd., Term Loan (First Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.50%, 7/28/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,650</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,654,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Federal-Mogul Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B, 2.18% &#150; 2.19%, 12/29/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>724</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>682,026</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan C, 2.18% &#150; 2.19%, 12/28/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>369</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>347,972</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>GPX International Tire Corp. (c)(f):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>12.00%, 3/30/12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>8.37%, 3/31/12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>274</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UCI International, Inc., Term Loan, 5.50%, 7/26/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>943</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>942,875</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,068,413</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Beverages &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Le-Nature's, Inc, Tranche B Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left; text-indent: 6pt"><FONT color=#231f20>9.50%, 3/01/11 (c)(f)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>100</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Biotechnology &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Grifols SA, Term Loan B, 6.00%, 6/01/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>803</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>803,325</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Building Products &#151; 2.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Armstrong World Industries, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.00%, 3/09/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,393</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,371,409</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>CPG International I, Inc., Term Loan B, 6.00%, 2/18/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,134</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,005,842</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.75%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,714</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,702,948</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Momentive Performance Materials (Blitz 06-103 GmbH):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Tranche B-1 Term Loan, 3.75%, 5/05/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>356</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>334,342</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Tranche B-2B Term Loan, 4.87%, 5/05/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>814</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,020,658</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>United Subcontractors, Inc., Term Loan (First Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.37%, 6/30/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>181</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>153,947</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8,589,146</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Capital Markets &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>624</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>620,799</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HarbourVest Partners, Term Loan (First Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.25%, 12/14/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,205</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,205,418</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Marsico Parent Co., LLC, Term Loan, 5.25% &#150; 5.44%,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>12/14/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>117</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>51,358</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Nuveen Investments, Inc. (First Lien):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Extended Term Loan, 5.81% &#150; 5.92%, 5/12/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,773</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,698,833</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Non-Extended Term Loan, 3.37% &#150; 3.42%, 11/13/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>724,544</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,300,952</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Chemicals &#151; 5.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>American Rock Salt Co., LLC, Term Loan, 5.50%, 4/25/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,468</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,430,934</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Arizona Chemical, Inc., Term Loan, 4.75%, 11/21/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,808</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ashland, Inc., Term Loan B, 3.75%, 8/23/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>950</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>951,834</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Chemtura Corp., Term Facility, 5.50%, 8/27/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,795,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gentek, Inc., Term Loan B, 1.00%, 10/06/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,562</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,543,678</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MacDermid, Inc., Tranche C Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>3.56%, 4/11/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,424</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,915,843</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,393</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,345,401</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PQ Corp., Original Term Loan (First Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>3.50% &#150; 3.68%, 7/30/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,342</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,266,358</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Styron Sarl, Term Loan, 6.00%, 8/02/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,251</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,053,393</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,176</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,152,180</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,978</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,904,551</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>18,367,480</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Commercial Services &amp; Supplies &#151; 3.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Altegrity, Inc. (FKA US Investigations Services, Inc.),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Tranche D Term Loan, 7.75%, 2/20/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,998</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,973,455</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AWAS Finance Luxembourg Sarl, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.25%, 6/10/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,240</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,240,272</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,188,594</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>KAR Auction Services, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.00%, 5/19/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,195</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,181,465</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Synagro Technologies, Inc., Term Loan (First Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>2.25%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,737</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,514,104</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Volume Services America, Inc. (Centerplate),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Term Loan B, 10.50% &#150; 10.75%, 9/16/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,213</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,192,533</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10,290,423</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 49; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->49<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_50"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Floating Rate Loan Interests (b)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Communications Equipment &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avaya, Inc., Term Loan B, 3.06%, 10/24/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>778</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>739,323</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CommScope, Inc., Term Loan B, 5.00%, 1/14/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,989</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,973,099</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,712,422</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Construction &amp; Engineering &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>BakerCorp International, Inc., Term Loan B, 5.00%, 6/01/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>683</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>673,038</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Brand Energy &amp; Infrastructure Services, Inc. (FR Brand Acqui-</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left colSpan=2><FONT color=#231f20>sition Corp.), Synthetic Letter of Credit, 2.63%, 2/07/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>403,335</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Safway Services LLC, First Out Tranche Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>9.00%, 12/16/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,100,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,176,373</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Consumer Finance &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Springleaf Financial Funding Co. (FKA AGFS Funding Co.),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Term Loan, 5.50%, 5/10/17</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,920</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,404,131</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Containers &amp; Packaging &#151; 0.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sealed Air Corp., Term Loan B, 4.75%, 10/03/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,631</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,641,790</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Smurfit Kappa Acquisitions (JSG):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term B1, 4.48% &#150; 4.71%, 12/01/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>458</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>627,051</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan Facility C1, 4.73% &#150; 4.96%, 12/31/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>453</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>623,003</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,891,844</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Consumer Services &#151; 3.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Coinmach Service Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left colSpan=4><FONT color=#231f20>Delayed Draw Term Loan, 3.23% &#150; 3.32%, 11/20/14 USD 487</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>427,144</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan, 3.30% &#150; 3.32%, 11/20/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,229</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,953,460</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Laureate Education, Series A, Extended Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.25%, 8/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,661</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,342,181</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ServiceMaster Co.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Closing Date Term Loan, 2.74% &#150; 2.83%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,936</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,803,916</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Delayed Draw Term Loan, 2.75%, 7/24/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>292</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>279,228</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,805,929</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Financial Services &#151; 2.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reynolds Group Holdings, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>6.75%, 2/09/18</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,975</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,772,044</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Diversified Telecommunication Services &#151; 4.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Hawaiian Telcom Communications, Inc., Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>9.00%, 11/01/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,814</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,814,824</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Integra Telecom Holdings, Inc., Term Loan, 9.25%, 4/15/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,852,710</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Level 3 Financing, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Add on Term Loan, 11.50%, 3/13/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,506,796</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B2, 5.75%, 9/03/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,513,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Tranche A Incremental Term Loan, 2.65%, 3/13/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,471,919</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Telepacific Corp., Term Loan B, 5.75%, 2/23/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,916</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,819,112</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>13,979,111</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><B><FONT color=#394c87>Electronic Equipment, Instruments &amp; Components &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aeroflex, Inc., Term Loan B, 4.25%, 5/09/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,296</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,270,890</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CDW LLC, Term Loan, 3.74%, 10/10/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,612</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,560,835</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sensata Technologies Finance Company LLC,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Term Loan, 4.00%, 5/11/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,195</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,181,245</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,012,970</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Energy Equipment &amp; Services &#151; 3.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CCS Corp., Term Loan B, 3.37%, 11/14/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,806</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,644,017</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dynegy Holdings, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>CoalCo Term Loan, 9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>795</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>781,087</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>GasCo Term Loan, 9.25%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,455</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,449,806</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MEG Energy Corp., Term Loan B, 4.00%, 3/16/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,100</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,069,500</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9,944,410</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food &amp; Staples Retailing &#151; 2.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>AB Acquisitions UK Topco 2 Ltd., Facility B1,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>3.63% &#150; 3.64%, 7/09/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>GBP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,525</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,589,138</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>US Foodservice, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>2.74% &#150; 2.75%, 7/03/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,461</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,349,047</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,938,185</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Floating Rate Loan Interests (b)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Food Products &#151; 5.1%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Advance Pierre Foods, Term Loan:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>(First Lien), 7.00% &#150; 7.50%, 9/30/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,148</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,130,576</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>(Second Lien), 11.25%, 9/29/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,400</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,388,338</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Birds Eye Iglo Group Ltd. (Liberator Midco Ltd.),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Term Loan B, 5.87%, 4/30/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,137,277</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Del Monte Corp., Term Loan B, 4.50%, 3/08/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,844</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,668,850</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Michaels Foods Group, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.25%, 2/23/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>323</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>318,488</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.00%, 4/02/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,468</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,479,052</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Solvest Ltd. (Dole):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Tranche B-1 Term Loan, 5.00% &#150; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>583</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>581,062</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Tranche C-1 Term Loan, 5.00% &#150; 6.00%, 7/06/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,083</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,079,116</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>16,782,759</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Equipment &amp; Supplies &#151; 1.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Biomet, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan, 4.49%, 3/25/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>985</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,318,071</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B, 3.24% &#150; 3.36%, 3/25/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>484</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>474,975</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,499,070</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DJO Finance LLC, Term Loan, 3.25%, 5/20/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,013</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>974,565</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,760</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,766,600</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,033,281</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Providers &amp; Services &#151; 4.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CHS/Community Health Systems, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Extended Term Loan B, 3.82%, 1/25/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>214</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>207,877</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Non-Extended Delayed Draw Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>2.57%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>83</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80,390</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Non-Extended Term Loan, 2.57%, 7/25/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,614</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,564,075</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>ConvaTec, Inc., Term Loan, 5.75%, 12/22/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,216</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,188,457</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,886</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,874,982</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Emergency Medical Services, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.25% &#150; 6.00%, 5/25/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,079</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,030,843</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Harden Healthcare, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,399</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,371,070</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Tranche A Term Loan, 8.50%, 3/02/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>844</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>827,175</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>inVentiv Health, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Incremental Term Loan B3, 6.75%, 5/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>748</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>738,773</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B, 6.50%, 8/04/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,951</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,900,871</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Medpace, Inc., Term Loan, 6.50% &#150; 7.25%, 6/16/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,496</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,421,437</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.75%, 12/16/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,489</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,486,264</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>14,692,214</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Health Care Technology &#151; 1.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>IMS Health, Inc., Term Loan B, 4.50%, 8/25/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,496</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,485,444</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kinetic Concepts, Inc., Term Loan B, 7.00%, 11/02/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,755</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,761,143</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>MedAssets, Inc., Term Loan B, 5.25%, 11/16/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>975</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>965,109</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,211,696</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Hotels, Restaurants &amp; Leisure &#151; 5.4%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,566</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,563,120</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Caesars Entertainment Operating Co., Inc.</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>(FKA Harrah's Operating Co., Inc.):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B-2, 3.24% &#150; 3.42%, 1/28/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>667</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>586,573</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B-3, 3.32% &#150; 3.42%, 1/28/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,886</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,295,989</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B-4, 9.50%, 10/31/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,385</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,394,358</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dunkin' Brands, Inc., Term Loan B, 4.00%, 11/23/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,783</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,775,443</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>OSI Restaurant Partners LLC, Pre-Funded RC Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>2.69% &#150; 2.75%, 6/14/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>32</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>30,645</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Seaworld Parks &amp; Entertainment, Inc. (FKA SW</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,432</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,421,594</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>(First Lien), 5.25%, 6/30/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,260</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,262,127</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Twin River Worldwide Holdings, Inc., Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>7.75%, 11/05/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,282</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,264,923</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 50 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->50<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_51"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="61%"></TD>
     <TD width="5%"></TD>
     <TD width="9%"></TD>
     <TD width="5%"></TD>
     <TD width="3%"></TD>
     <TD width="14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Floating Rate Loan Interests (b)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Hotels, Restaurants &amp; Leisure (concluded)</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>VML US Finance LLC:</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 12pt" align=left><FONT color=#231f20>Term B Delayed Draw Project Loan, 4.75%, 5/25/12</FONT></TD>
     <TD ALIGN="LEFT"><FONT STYLE="color: #231f20">USD</FONT></TD>
     <TD ALIGN="right"><FONT STYLE="color: #231f20">1,608</FONT></TD>
     <TD ALIGN="LEFT">&nbsp;</TD>
     <TD align=left><FONT color=#231f20>$</FONT></TD>
     <TD align=right><FONT color=#231f20>1,601,519</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Term B Funded Project Loan, 4.75%, 5/27/13</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,783</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>2,772,649</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>17,968,940</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Household Durables &#151; 0.0%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Berkline/Benchcraft LLC, Term Loan B,</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 6pt; BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20>14.00%, 11/03/13 (c)(f)</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>148</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>7,397</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Independent Power Producers &amp; Energy Traders &#151; 2.5%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>AES Corp., Term Loan B, 4.25%, 6/01/18</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,940</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,934,856</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Calpine Corp., Term Loan B, 4.50%, 4/02/18</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,569</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,535,510</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Texas Competitive Electric Holdings Co., LLC (TXU),</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 6pt" align=left><FONT color=#231f20>Extended Term Loan, 4.74% &#150; 4.77%, 10/10/17</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>5,511</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>3,735,729</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>8,206,095</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Industrial Conglomerates &#151; 1.0%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Sequa Corp.:</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 12pt" align=left><FONT color=#231f20>Incremental Term Loan, 3.50% &#150; 7.50%, 12/03/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>675</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>675,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Term Loan, 3.50% &#150; 3.63%, 12/03/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,822</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>2,719,934</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>3,394,934</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Insurance &#151; 0.5%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT color=#231f20>CNO Financial Group, Inc., Term Loan B, 6.25%, 9/30/16</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>1,706</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>1,701,450</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Internet Software &amp; Services &#151; 0.3%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT color=#231f20>Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>1,050</FONT></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>937,125</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>IT Services &#151; 3.8%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Ceridian Corp., US Term Loan, 3.25%, 11/10/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,708</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,564,621</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>First Data Corp.:</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 12pt" align=left><FONT color=#231f20>Initial Tranche B-1 Term Loan, 2.99%, 9/24/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>426</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>394,098</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Initial Tranche B-2 Term Loan, 4.24%, 3/23/18</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>6,558</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>5,644,782</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Initial Tranche B-3 Term Loan, 2.99%, 9/24/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>281</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>259,627</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>infoGROUP, Inc., Term Loan, 5.75%, 5/22/18</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>442</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>424,915</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Trans Union LLC, Term Loan B, 4.75%, 2/12/18</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,845</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,822,287</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Travelex Plc:</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 12pt" align=left><FONT color=#231f20>Tranche B5, 2.70%, 10/31/13</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>637</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>631,270</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Tranche C5, 3.20%, 10/31/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>632</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>629,031</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>12,370,631</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Machinery &#151; 1.5%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,015</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,007,036</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Tomkins Plc, Term Loan B, 4.25%, 9/21/16</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,010</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,003,886</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Terex Corp.:</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 12pt" align=left><FONT color=#231f20>Term Loan, 6.03%, 4/28/17</FONT></TD>
     <TD align=left><FONT color=#231f20>EUR</FONT></TD>
     <TD align=right><FONT color=#231f20>355</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>475,249</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Term Loan B, 5.50%, 4/28/17</FONT></TD>
     <TD align=left><FONT color=#231f20>USD</FONT></TD>
     <TD align=right><FONT color=#231f20>1,300</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>1,296,204</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT color=#231f20>4,782,375</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><B><FONT color=#394c87>Media &#151; 20.2%</FONT></B></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Acosta, Inc., Term Loan, 4.75% &#150; 5.50%, 3/01/18</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,664</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,632,044</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Affinion Group, Inc., Tranche B Term Loan,</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 6pt" align=left><FONT color=#231f20>5.00%, 10/10/16</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>2,090</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,918,513</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,796</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,779,035</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Atlantic Broadband Finance LLC, Term Loan B,</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 6pt" align=left><FONT color=#231f20>4.00%, 3/08/16</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>914</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>894,005</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Bresnan Telecommunications Co., LLC, Term Loan,</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 6pt" align=left><FONT color=#231f20>4.50% &#150; 5.25%, 12/14/17</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,558</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,539,389</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Catalina Marketing Corp., Term Loan, 3.00%, 10/01/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>289</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>276,912</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 12pt" align=left><FONT color=#231f20>Term Loan, 2.50%, 7/03/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>626</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>540,631</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,121</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>1,070,676</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Charter Communications Operating LLC:</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 12pt" align=left><FONT color=#231f20>Term Loan B, 7.25%, 3/06/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>36</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>35,629</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 12pt" align=left><FONT color=#231f20>Term Loan C, 3.62%, 9/06/16</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>628</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>621,778</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Clarke American Corp., Term Loan B,</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 6pt" align=left><FONT color=#231f20>2.75% &#150; 2.87%, 6/30/14</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>324</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=left>&nbsp;</TD>
     <TD align=right><FONT color=#231f20>272,218</FONT></TD></TR>
<TR vAlign=bottom>
     <TD align=left><FONT color=#231f20>Clear Channel Communications, Inc., Term Loan B,</FONT></TD>
     <TD align=left>&nbsp;</TD>
     <TD align=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: 6pt" align=left width="61%"><FONT color=#231f20>3.90%, 1/28/16</FONT></TD>
     <TD align=left width="5%">&nbsp;</TD>
     <TD align=right width="9%"><FONT color=#231f20>2,385</FONT></TD>
     <TD align=left width="5%">&nbsp;</TD>
     <TD align=left width="3%">&nbsp;</TD>
     <TD align=right width="14%"><FONT color=#231f20>1,864,927</FONT></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Floating Rate Loan Interests (b)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Media (concluded)</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,481,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gray Television, Inc., Term Loan B, 3.74%, 12/31/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,478</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,440,994</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>HMH Publishing Co. Ltd., Tranche A Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.24%, 6/12/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,870</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,327,611</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Hubbard Radio LLC, Term Loan (Second Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.25%, 4/28/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,097</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,087,649</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Intelsat Jackson Holdings SA (FKA Intelsat Jackson</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Holdings Ltd.), Tranche B Term Loan, 5.25%, 4/02/18</FONT></TD>
     <TD align=right colSpan=2><FONT color=#231f20>10,199</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,109,511</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interactive Data Corp., Term Loan B, 4.50%, 2/12/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,607</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,578,309</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Kabel Deutschland GmbH:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan A, 3.74%, 3/31/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,043</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,115,623</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan D, 5.37%, 12/13/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,360,717</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan E, 4.62%, 6/15/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,371,081</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Knology, Inc., Term Loan B, 4.00%, 8/18/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>418</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>407,219</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Facility B1, 4.20%, 3/06/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>304</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>356,746</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Facility C1, 4.45%, 3/04/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>608</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>717,697</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Liberty Cablevision of Puerto Rico Ltd., Initial Term</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Facility, 2.35%, 6/13/14</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,436</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,371,619</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Mediacom Illinois LLC, Tranche D Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.50%, 3/31/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,212</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,179,219</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Newsday LLC:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Fixed Rate Term Loan, 10.50%, 8/01/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,548,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Floating Rate Term Loan, 6.65%, 8/01/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,250</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,264,587</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Nielsen Finance LLC, Class B Term Loan, 3.99%, 5/02/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,714</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,705,201</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Serpering Investments BV (Casema NV), Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.37%, 3/31/17</FONT></TD>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT STYLE="color: #231f20">EUR </FONT></TD>
     <TD STYLE="text-align: right; text-indent: 6pt; vertical-align: bottom"><FONT STYLE="color: #231f20">619</FONT></TD>
     <TD STYLE="text-align: left; text-indent: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>847,310</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sinclair Television Group, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.00%, 10/28/16</FONT></TD>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT STYLE="color: #231f20">USD</FONT></TD>
     <TD STYLE="text-align: right; text-indent: 6pt"><FONT STYLE="color: #231f20">839</FONT></TD>
     <TD STYLE="text-align: left; text-indent: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>838,232</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sunshine Acquisition Ltd., Term Facility, 5.51%, 6/01/12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,955</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,921,641</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Telesat Canada:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Delayed Draw Term Loan, 3.25%, 10/31/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>373</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>365,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan B, 3.25%, 10/31/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,345</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,252,834</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Univision Communications, Inc., Extended Term Loan</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>(First Lien), 4.50%, 3/31/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,797</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,629,868</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>UPC Broadband Holding BV:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Term Loan AB, 4.75%, 12/31/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>89,550</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Term Loan U, 5.37%, 12/31/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,552</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,064,234</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Weather Channel, Term Loan B, 4.25%, 2/13/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,606</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,605,518</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>66,484,040</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Metals &amp; Mining &#151; 2.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Novelis, Inc., Term Loan, 3.75%, 3/10/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,304</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,274,076</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>SunCoke Energy, Inc., Term Loan B, 4.00% &#150; 5.25%, 7/26/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>848</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>845,755</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,636</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,619,147</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,738,978</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 0px; text-align: left"><B><FONT color=#394c87>Multi-Utilities &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Mach Gen LLC, Synthetic Letter of Credit Loan (First Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>2.37%, 2/22/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>69</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>62,432</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Multiline Retail &#151; 1.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Hema Holding BV:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Facility B, 3.35%, 7/06/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>EUR</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>169</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>213,626</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Facility C, 4.10%, 7/05/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>169</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>214,797</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Facility D, 6.35%, 1/05/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,416,770</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>The Neiman Marcus Group, Inc., Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.75%, 5/16/18</FONT></TD>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT STYLE="color: #231f20">USD</FONT></TD>
     <TD STYLE="text-align: right; text-indent: 6pt"><FONT STYLE="color: #231f20">465</FONT></TD>
     <TD STYLE="text-align: left; text-indent: 6pt">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>452,650</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,297,843</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Oil, Gas &amp; Consumable Fuels &#151; 2.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>EquiPower Resources Holdings LLC, Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>5.75%, 1/26/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,903</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,888,946</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gibson Energy, Term Loan B, 5.75%, 6/14/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,195</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,168,451</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,380</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,380,313</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>6,437,710</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Paper &amp; Forest Products &#151; 0.2%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>NewPage Corp., Term Loan, 8.00%, 3/07/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>550</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>551,831</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Verso Paper Finance Holdings LLC, Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>6.51% &#150; 7.26%, 2/01/13 (g)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>412</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>205,898</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>757,729</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 51; Value: 29 -->
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    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_52"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 61%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 9%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>Floating Rate Loan Interests (b)</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B><FONT color=#231f20>Par</FONT></B><BR>
<B>(000</B><B>)</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Pharmaceuticals &#151; 2.3%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,680</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,580,948</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Endo Pharmaceuticals Holdings, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.00%, 6/18/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,046</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,046,036</FONT></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: left; vertical-align: bottom"><FONT color=#231f20>Quinteles Transnational Corp., Term Loan B, 5.00%, 6/08/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,317</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,296,950</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,097</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,092,674</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Warner Chilcott Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan B-1, 4.25%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>773</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>766,731</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan B-2, 4.25%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>387</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>383,365</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan B-3, 4.25%, 3/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>532</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>527,127</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7,693,831</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Professional Services &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Emdeon Business Services LLC, Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.75%, 10/15/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,805,202</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Fifth Third Processing Solutions LLC, Term Loan B</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>(First Lien), 4.50%, 11/03/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,602</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,593,707</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,398,909</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Investment Trusts (REITs) &#151; 0.8%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>iStar Financial, Inc., Term Loan A, 5.00%, 6/28/13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,493</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,469,545</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Real Estate Management &amp; Development &#151; 1.5%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Pivotal Promontory LLC, Term Loan (Second Lien),</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>12.00%, 8/31/11 (c)(f)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Realogy Corp.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Delayed Draw Term Loan, 3.27%, 10/10/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,976</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,844,989</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Extended Synthetic Letter of Credit Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>4.44%, 10/10/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>177</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>153,645</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Extended Term Loan, 4.52%, 10/10/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,575</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,232,217</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Synthetic Letter of Credit, 3.19%, 10/10/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>81</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>76,039</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan, 3.44%, 10/10/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>647</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>603,703</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>4,910,594</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Road &amp; Rail &#151; 1.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Avis Budget Car Rental LLC, Incremental Term Loan,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>6.25%, 9/21/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,003,750</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>RAC Ltd., Term Loan B, 5.66%, 7/30/18</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>GBP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,500</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,240,006</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,243,756</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Semiconductors &amp; Semiconductor Equipment &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Freescale Semiconductor, Inc., Extended Maturity Term</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Loan, 4.49%, 12/01/16</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>561</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>538,116</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Microsemi Corp., Term Loan B, 5.75%, 11/02/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,471</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,471,019</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,009,135</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Software &#151; 0.6%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bankruptcy Management Solutions, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan (First Lien), 7.50%, 8/20/14</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>719</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>145,683</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan (Second Lien), 8.30%, 8/20/15</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>258</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,471</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Blackboard, Inc., Term Loan B, 7.50%, 10/04/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>433,548</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Rovi Corp., Term Loan B, 4.00%, 2/07/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>995</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>996,244</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Vertafore, Inc., Term Loan B, 5.25%, 7/29/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>341</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>332,070</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,917,016</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Specialty Retail &#151; 3.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,900</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,876,250</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Burlington Coat Factory Warehouse Corp., Term</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 6pt"><FONT color=#231f20>Loan B, 6.25%, 2/23/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,062</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,037,380</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>General Nutrition Centers, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.25%, 3/02/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,990</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,976,727</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,015</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>952,169</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>606</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>577,934</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Michaels Stores, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan B-1, 2.63% &#150; 2.69%, 10/31/13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>820</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>800,744</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan B-2, 4.88% &#150; 4.94%, 7/31/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>920</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>900,882</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Petco Animal Supplies, Inc., Term Loan B,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>4.50%, 11/24/17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,382</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,346,664</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Toys &#145;R&#146; Us Delaware, Inc.:</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan, 6.00%, 9/01/16</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,105</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,069,290</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; text-indent: 12pt"><FONT color=#231f20>Term Loan B, 5.25%, 5/25/18</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>499</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>486,531</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>13,024,571</FONT></TD></TR></TABLE><BR>
<table cellspacing="0" cellpadding="0" border="0" style="font: 10pt Arial; width: 100%">

  <tr>

    <td style="width: 61%"></td>
    <td style="width: 5%"></td>
    <td style="width: 9%"></td>
    <td style="width: 5%"></td>
    <td style="width: 3%"></td>
    <td style="width: 14%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Floating Rate Loan Interests (b)</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 2pt solid"><b><font color=#231f20>Par</font></b><br>

<b>(000</b><b>)</b></td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Value</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Textiles, Apparel &amp; Luxury Goods &#151; 0.9%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Phillips-Van Heusen Corp., Term Loan B,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom; text-indent: 6pt"><font color=#231f20>4.31% &#150; 4.50%, 5/06/16</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>EUR</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,096</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,834,434</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Wireless Telecommunication Services &#151; 1.8%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Digicel International Finance Ltd., US Term Loan</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>(Non-Rollover), 2.88%, 3/30/12</font></td>
    <td style="text-align: left"><font color=#231f20>USD</font></td>
    <td style="text-align: right"><font color=#231f20>1,522</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,514,788</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>MetroPCS Wireless, Inc., Term Loan B, 4.00%, 3/16/18</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,062</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,045,873</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Vodafone Americas Finance 2, Inc. (g):</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 12pt"><font color=#231f20>PIK Term Loan, 6.88%, 8/11/15</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,408</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,408,234</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 12pt"><font color=#231f20>PIK Term Loan B, 6.25%, 7/11/16</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>800</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>804,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,772,895</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Floating Rate Loan Interests &#151; 106.0%</font></b></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>349,568,204</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan="6" style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Foreign Agency Obligations</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Argentina Bonos:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 12pt"><font color=#231f20>0.44%, 8/03/12 (b)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,250</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,195,620</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 12pt"><font color=#231f20>7.00%, 10/03/15</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2,000</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1,766,334</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Colombia Government International Bond,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 6pt"><font color=#231f20>3.90%, 3/17/13 (b)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>540</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>545,400</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Uruguay Government International Bond,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom; text-indent: 6pt"><font color=#231f20>6.88%, 1/19/16</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>EUR</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>950</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,422,305</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Foreign Agency Obligations &#151; 1.5%</font></b></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>4,929,659</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan="6" style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)">&nbsp;</td>
  </tr>





  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Other Interests (h)</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Beneficial</font></b><br>

<b>Interest</b><br>

<b>(000</b><b>)</b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Auto Components &#151; 0.8%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Delphi Debtor-in-Possession Holding Co., LLP, Class B</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 6pt; height: 15px"><font color=#231f20>Membership Interests (c)</font></td>
    <td style="text-align: right; height: 15px"><font color=#231f20>USD</font></td>
    <td style="height: 15px; text-indent: 12pt; text-align: right"><font color=#231f20>&#151;(i)</font></td>
    <td style="text-indent: 12pt; text-align: left; height: 15px">&nbsp;</td>
    <td style="text-align: right; height: 15px">&nbsp;</td>
    <td style="text-align: right; height: 15px"><font color=#231f20>2,687,136</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Lear Corp. Escrow (c)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>500</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,692,136</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Diversified Financial Services &#151; 0.4%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>BGT JGW SPV, LLC (JG Wentworth LLC Preferred</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left; text-indent: 6pt"><font color=#231f20>Equity Interests) (c)(j)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,269,904</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Health Care Providers &amp; Services &#151; 0.0%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Critical Care Systems International, Inc. (c)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>96</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Hotels, Restaurants &amp; Leisure &#151; 0.0%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Wembley Contigent (c)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>6,000</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Household Durables &#151; 0.0%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Berkline Benchcraft Equity LLC (c)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>6</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Total Other Interests &#151; 1.2%</font></b></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3,968,136</font></td>
  </tr>

  <tr>

    <td colspan=6>&nbsp;</td>
  </tr>

  <tr>

    <td colspan="6" style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>Warrants (k)</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD COLSPAN="2" STYLE="border-bottom: Black 2pt solid; text-align: center"><b><font color=#231f20>Shares</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Chemicals &#151; 0.0%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>British Vita Holdings Co. (Non-Expiring)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>166</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; vertical-align: bottom"><b><font color=#394c87>Media</font></b> <b>&#151; 0.0</b><b>%</b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>New Vision Holdings LLC:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 12pt"><font color=#231f20>(Expires 9/30/14)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>19,023</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>190</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left; text-indent: 12pt"><font color=#231f20>(Expires 9/30/14)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3,424</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>34</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>224</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#394c87>Software &#151; 0.0%</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td align=left colspan=2><font color=#231f20>Bankruptcy Management Solutions, Inc. (Expires 9/29/17)</font></td>
    <td style="text-align: right"><font color=#231f20>251</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>3</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>HMH Holdings/EduMedia (Expires 3/09/17)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>21,894</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3</font></td>
  </tr>

  <tr valign=bottom>

    <td style="border-bottom: #000000 1px solid; text-align: left"><b><font color=#231f20>Total Warrants &#151; 0.0%</font></b></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>227</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><b><font color=#231f20>Total Long-Term Investments</font></b></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 0px; border-bottom: Black 2pt solid; text-align: left"><b><font color=#231f20>(Cost &#151; $463,999,793) &#151; 136.6%</font></b></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>450,531,364</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 52 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->52<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_53"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (continued)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left>&nbsp;</TD>
     <TD align=right style="vertical-align: top"><B><FONT color=#394c87 style="FONT-SIZE: 8pt">(Percentages shown are based on Net Assets)</FONT></B></TD></TR></TABLE><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 65%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><B><FONT color=#231f20>Short-Term Securities</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Shares</FONT></B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Value</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BlackRock Liquidity Funds, TempFund,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Institutional Class 0.14% (l)(m)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,071,567</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,071,567</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total Short-Term Securities</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>(Cost &#151; $1,071,567) &#151; 0.3%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,071,567</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="5" STYLE="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><B><FONT color=#231f20>Options Purchased</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Contracts</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#394c87>Over-the-Counter Call Options &#151; 0.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Marsico Parent Superholdco LLC, Strike Price USD 942.86,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Expires 12/21/19, Broker Goldman Sachs Bank USA</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>26</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total Options Purchased</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><B><FONT color=#231f20>(Cost &#151; $25,422) &#151; 0.0%</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total Investments (Cost &#151; $465,096,782*) &#151; 136.9%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>451,602,931</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Liabilities in Excess of Other Assets &#151; (36.9)%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(121,772,326</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Net Assets &#151; 100.0%</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>329,830,605</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: left"><FONT STYLE="color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The cost and unrealized appreciation (depreciation) of
investments as of October 31, 2011, as computed for federal income tax purposes, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 79%"></TD>
     <TD STYLE="width: 3%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Aggregate cost</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>462,508,581</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized appreciation</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,056,994</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Gross unrealized depreciation</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(18,962,644</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net unrealized depreciation</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(10,905,650</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(a)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Security exempt from registration pursuant to Rule 144A
of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional
investors.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(b)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Variable rate security. Rate shown is as of report date.
</FONT>&nbsp;</TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(c)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Non-income producing security.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(d)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Convertible security.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(e)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a zero-coupon bond. Rate shown reflects the
current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(f)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Issuer filed for bankruptcy and/or is in default of interest
payments.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(g)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(h)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Other interests represent beneficial interest in liquidation
trusts and other reorganization or private entities.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(i)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Amount is less than $500.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(j)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The investment is held by a wholly owned subsidiary.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(k)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Warrants entitle the Fund to purchase a predetermined
number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment
under certain conditions until the expiration date, if any.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(l)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Investments in companies considered to be an affiliate
of the Fund during the year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 24%"></TD>
     <TD STYLE="width: 19%"></TD>
     <TD STYLE="width: 14%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 18%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 11%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><B><FONT color=#231f20>Affiliate</FONT></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Shares Held at</FONT></B><BR>
<B>October 31,</B><BR>
<B>2010</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Net</FONT></B><BR>
<B>Activity</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Shares Held at</FONT></B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Income</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BlackRock Liquidity</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Funds, TempFund,</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Institutional Class</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>8,770,511</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(7,698,944</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="color: #231f20">1,071,567</FONT> <FONT STYLE="color: #231f20"></FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>$4,488</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">(m)&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents the current yield as of report date.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">For Fund compliance purposes, the Fund&#146;s and industry
classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes
or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Foreign currency exchange contracts as of October 31,
2011 were as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR vAlign=bottom>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Currency</FONT></B><BR>
<B>Purchased</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; border-top: Black 1pt solid; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; border-top: Black 1pt solid; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Currency<BR>
Sold</FONT></B></TD>
    <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><B><FONT color=#231f20>Counterparty</FONT></B></TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; vertical-align: bottom"><B><FONT color=#231f20>Settlement<BR>
Date</FONT></B></TD>
     <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Unrealized<BR>
Appreciation<BR>
(Depreciation)</FONT></B></TD></TR>
<TR>
     <TD COLSPAN="11">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>CAD</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom"><FONT color=#231f20>179,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>172,140</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>Citibank NA</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>1/18/12</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,137</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>GBP</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right; vertical-align: bottom"><FONT color=#231f20>605,000</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>947,939</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>Citibank NA</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>1/18/12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>24,024</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT color=#231f20>1,179,725</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom"><FONT color=#231f20>CHF</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,055,000</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>UBS AG</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>1/18/12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(23,932</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="color: #231f20">12,660,475</FONT></TD>
     <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom"> <FONT STYLE="color: #231f20">GBP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,123,500</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>Citibank NA</FONT></TD>
     <TD STYLE="text-align: center; vertical-align: bottom"><FONT color=#231f20>1/18/12</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(390,339</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>USD</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="color: #231f20">55,389,402 </FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">&nbsp;&nbsp;<FONT STYLE="color: #231f20"></FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">EUR</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom"><FONT STYLE="color: #231f20">40,275,000</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT color=#231f20>Citibank NA</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom"><FONT color=#231f20>1/25/12</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(307,702</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(690,812</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Fair Value Measurements &#151; Various inputs are used
in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure
hierarchy consisting of three broad levels for financial statement purposes as follows:&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 1 &#151; unadjusted price quotations in active
markets/exchanges for identical assets and liabilities&nbsp;&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 2 &#151; other observable inputs (including, but
not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar
assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities
(such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other
market-corroborated inputs)&nbsp;&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 10pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 39pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Level 3 &#151; unobservable inputs based on the best
information available in the circumstances, to the extent observable inputs are not available (including the Fund's own assumptions
used in determining the fair value of investments and derivative financial instruments)&nbsp;&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="text-align: left"><FONT STYLE="color: #231f20">Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following tables summarize the inputs used as of October 31, 2011 in determining the fair valuation of the Fund&#146;s investments and derivative financial instruments:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Valuation Inputs</font></b></td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 1</font></b></td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 2</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Level 3</font></b></td>
    <td colspan="2" style="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><b><font color=#231f20>Total</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Assets:</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Long Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Investments:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Asset-Backed</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,398,916</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,561,220</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>9,960,136</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Common</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Stocks</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>84,261</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>741,144</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>234,634</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,060,039</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Corporate</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Bonds</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>81,044,963</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>81,044,963</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Floating</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Rate Loan</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Interests</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>317,101,379</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>32,466,825</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>349,568,204</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Foreign Agency</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Obligations</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,967,705</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,961,954</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,929,659</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Other</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Interests</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,687,136</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,281,000</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,968,136</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Warrants</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>227</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>227</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Short-Term</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 12pt; text-align: left"><font color=#231f20>Securities</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,071,567</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,071,567</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,155,828</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>406,941,243</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>43,505,860</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>451,602,931</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 53; Value: 29 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->53<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_54"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="55%"></TD>
     <TD width="44%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Schedule of Investments (concluded)</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%; text-align: right; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%; text-align: center"></TD>
     <TD STYLE="width: 2%; text-align: right; vertical-align: bottom"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; vertical-align: bottom; border-top: Black 1pt solid"><B><FONT color=#231f20>Valuation Inputs</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 1</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><B><FONT color=#231f20>Level 2</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><B><FONT STYLE="color: #231f20">Level 3</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; vertical-align: bottom; border-top: Black 1pt solid"><B><FONT color=#231f20>Total</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><FONT color=#231f20>Derivative Financial Instruments</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Foreign currency</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>exchange</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>31,161</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>31,161</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Liabilities:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Foreign currency</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>exchange</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>contracts</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(721,973</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(721,973</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(690,812</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: center"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(690,812</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Derivative financial instruments are foreign currency
exchange contracts and options. Foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on
the instrument and options are shown at value.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 7pt Arial; width: 100%">







  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Asset-<br>
Backed <br>
      Securities</font></b></td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Common <br>
      Stocks </font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <td colspan="2" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Corporate</font></b><br>

<b>Bonds</b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Floating</font></b><br>

<b>Rate Loan</b><br>

<b>Interests</b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Foreign</font></b><br>

<b>Agency</b><br>

<b>Obligations</b></td>
    <td colspan="3" style="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><b><font color=#231f20>Other</font></b><br>

<b>Interests</b></td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Preferred <br>
      Securities</font></b></td>
    <td colspan="3" style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Unfunded</font></b><br>

<b>Loan</b><b><font color=#231f20><br>
      Commitments<BR>
Assets</font></b></td>
    <td colspan="4" style="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Unfunded</font></b><br>

<b>Loan </b><b><font color=#231f20><br>
      Commitments <br>
      Liabilities </font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid; padding-right: 12pt"><b><font color=#231f20>Warrants</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; border-top: Black 1pt solid">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; width: 8%"><b><font color=#231f20>Assets/Liabilities:</font></b></td>
    <TD STYLE="text-align: right; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right; width: 2%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 2%">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Balance, as of</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>October&nbsp;31,&nbsp;2010</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>595,520</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>61,912</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>64,699,477</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>4,228,067</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>5,533,239</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>85,828</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>160,394</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(42,707</font></td>
    <TD>)</td>
    <TD STYLE="text-align: right; vertical-align: bottom"><font color=#231f20> $</font></td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>227</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>75,321,957</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Accrued&nbsp;discounts/</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>premiums</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>85,168</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>101,941</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>258,256</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>197,954</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>643,319</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Realized&nbsp;gain&nbsp;(loss)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(348,191</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,019,809</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(5,061,690</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>70,260</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>136,990</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(6,222,440</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Net&nbsp;change&nbsp;in&nbsp;unrealized</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>appreciation/</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>depreciation</font><sup><font color=#231f20>1</font></sup></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(694,398</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(132,121</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>947,258</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,872,207</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(284,327</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>117,404</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(31,032</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(160,394</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>42,707</font></td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,677,304</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Purchases</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,613,650</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>38,466</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>27,438,429</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>26,311</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>34,116,856</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Sales</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(38,760</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(129,768</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(49,981,028</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,250,000</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(191,786</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(51,591,342</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Transfers in</font><sup><font color=#231f20>2</font></sup></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>556,800</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>158,186</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,149,987</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 12pt"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,864,973</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Transfers out</font><sup><font color=#231f20>2</font></sup></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(11,908,813</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(4,395,954</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right; padding-right: 12pt"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(16,304,767</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Balance, as of</font></b></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD>&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; padding-right: 12pt">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><b><font color=#231f20>October&nbsp;31,&nbsp;2011</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6,561,220</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>234,634</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>32,466,825</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2,961,954</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,281,000</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151; </font></td>
    <TD STYLE="border-bottom: Black 2pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; vertical-align: bottom">&nbsp;$</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 12pt"><font color=#231f20>227</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>43,505,860</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 8pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at October 31, 2011
was $(1,698,378).&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-bottom: 6pt; font-size: 8pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Fund&#146;s policy is to recognize transfers in and
transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:</FONT></P>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD STYLE="width: 83%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Credit</B><BR>
<B>Contracts</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Assets:</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Balance, as of October 31, 2010</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19,172</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accrued discounts/premiums</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(19,172</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Issuances</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Sales</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Settlements</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers in</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Transfers out</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Balance, as of October 31, 2011</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Included in the related net change in unrealized appreciation/depreciation
in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still
held at October 31, 2011 was $0.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Issuances represent upfront cash received on certain
derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Settlements represent periodic contractual cash flows
and/or cash flows to terminate certain derivative financial instruments.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->54<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV>
<DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_006"></A><FONT color=#394c87>Statements of Assets and Liabilities</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>October 31, 2011</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>BlackRock</B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust I, Inc.</B><BR>
<B>(PSW)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>BlackRock</B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust II, Inc.</B><BR>
<B>(PSY)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>BlackRock</B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust III</B><BR>
<B>(BPP)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>BlackRock</FONT></B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust IV</B><BR>
<B>(BTZ)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>BlackRock</B><BR>
<B>Floating</B><BR>
<B>Rate</B><BR>
<B>Income</B><BR>
<B>Trust</B><BR>
<B>(BGT)</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Assets</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Investments at value &#151; unaffiliated</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>157,339,860</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>661,625,983</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>308,674,023</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,034,611,319</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>450,531,364</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Investments at value &#151; affiliated</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,362,932</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>405,708</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,459,914</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,823,108</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,071,567</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Unrealized appreciation on swaps</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>85,804</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>389,756</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>483,080</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,619,608</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Unrealized appreciation on foreign currency exchange contracts</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>31,161</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>41,703</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>168,875</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>70,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>652,836</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash pledged as collateral for financial futures contracts</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>517,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,246,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>805,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,389,940</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash pledged as collateral for reverse repurchase agreements</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>690,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash pledged as collateral for swaps</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>600,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,270,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,350,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interest receivable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,359,673</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,314,414</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,562,840</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16,006,139</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,613,341</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Investments sold receivable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>715,259</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,727,818</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,361,222</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,672,842</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,010,494</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reverse repurchase agreements receivable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>372,450</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>960,076</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,207,010</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,598,980</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Swaps premiums paid</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>247,862</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,050,104</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>605,709</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,557,261</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Swaps receivable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,608</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>62,192</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>61,081</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>213,170</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Foreign currency at value</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,294</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>39,404</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>497</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>47</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends receivable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>336</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>225</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>517</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>418</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Prepaid expenses</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,616</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>15,844</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>22,905</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>61,431</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>54,023</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Other assets</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>456</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>89,507</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>51,943</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>138,860</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>106,808</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total assets</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>163,675,517</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>680,366,017</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>321,365,449</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>1,080,386,058</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>461,419,176</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Liabilities</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reverse repurchase agreements</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>53,267,631</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>213,033,213</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>92,971,273</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>339,303,168</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Loan payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>122,000,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Options written at value</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>257,909</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,103,277</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,409,148</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,883,907</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Unrealized depreciation on swaps</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>639,459</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,779,458</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,358,515</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,492,722</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Unrealized depreciation on foreign currency exchange contracts</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,106</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,016</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>721,973</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash received as collateral for reverse repurchase agreements</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>848,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash received as collateral for swaps</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>700,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Investments purchased payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>362,501</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,529,078</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,192,636</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,078,480</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,845,710</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Margin variation payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>287,296</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,253,555</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>383,266</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,208,177</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Investment advisory fees payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80,372</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>335,809</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>168,017</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>567,361</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>278,383</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Swaps premiums received</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>98,903</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>418,708</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>201,767</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>641,936</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interest expense payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>32,175</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>143,436</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>69,913</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>361,942</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>98,390</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Swaps payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>32,658</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>135,503</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>72,862</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240,074</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Income dividends payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>27,362</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>124,515</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>36,737</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>226,785</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>47,461</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Officer's and Directors' fees payable</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>538</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>90,328</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>58,445</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>153,605</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>109,199</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Bank overdraft on foreign currency at value</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>67,411</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Other accrued expenses payable</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>57,470</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>131,399</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>179,203</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>342,726</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>420,044</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total liabilities</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>55,146,380</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>221,087,295</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>98,426,782</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>358,048,883</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>131,588,571</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Net Assets</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>108,529,137</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>459,278,722</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>222,938,667</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>722,337,175</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>329,830,605</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Net Assets Consist of</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Paid-in capital</FONT><SUP><FONT color=#231f20>5,6,7</FONT></SUP></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>235,477,660</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>937,350,272</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>422,218,171</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,123,084,063</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>428,621,718</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Undistributed net investment income</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>810,163</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,350,278</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>787,825</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,025,075</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,628,436</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Accumulated net realized loss</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(133,350,575</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(497,436,803</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(203,449,517</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(412,956,597</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(90,227,574</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net unrealized appreciation/depreciation</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>5,591,889</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>17,014,975</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,382,188</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>11,184,634</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(14,191,975</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Net Assets</FONT></B></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>108,529,137</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>459,278,722</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>222,938,667</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>722,337,175</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>329,830,605</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net asset value</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10.52</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>11.25</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>12.07</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>13.94</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>13.97</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><SUP><FONT color=#231f20>1 </FONT></SUP><FONT color=#231f20>Investments at cost &#151; unaffiliated</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>151,184,693</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>642,166,810</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>303,928,660</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,018,748,047</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>464,025,215</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><SUP><FONT color=#231f20>2 </FONT></SUP><FONT color=#231f20>Investments at cost &#151; affiliated</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,362,932</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>405,708</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,459,914</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3,823,108</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,071,567</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><SUP><FONT color=#231f20>3 </FONT></SUP><FONT color=#231f20>Foreign currency at cost</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>12,054</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>46,155</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>459</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>43</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(69,028</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><SUP><FONT color=#231f20>4 </FONT></SUP><FONT color=#231f20>Premiums received</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>129,600</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>554,400</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>851,400</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,923,700</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><SUP><FONT color=#231f20>5 </FONT></SUP><FONT color=#231f20>Common shares par value per share</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.100</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.100</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.001</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.001</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.001</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><SUP><FONT color=#231f20>6 </FONT></SUP><FONT color=#231f20>Common shares outstanding</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10,311,941</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>40,807,418</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>18,467,785</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>51,828,157</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>23,616,745</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><SUP><FONT color=#231f20>7 </FONT></SUP><FONT color=#231f20>Common shares authorized</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>199,994,540</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>199,978,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-indent: 0px; text-align: right"><FONT STYLE="color: #231f20">unlimited</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-indent: 0px; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">unlimited</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-indent: 12pt; text-align: right"><FONT STYLE="color: #231f20">unlimited</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-indent: 12pt; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

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<P STYLE="text-align: left"></P><A name="page_56"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_007"></A><FONT color=#394c87>Statements of Operations</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 50%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 6%"></td>
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    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 6%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Year Ended October 31, 2011</font></b></td>
    <td colspan="3" style="text-align: center"><b><font color=#231f20>BlackRock</font></b><br>

<b>Credit</b><br>

<b>Allocation</b><br>

<b>Income</b><br>

<b>Trust I, Inc.</b><br>

<b>(PSW)</b></td>
    <td colspan="3" style="text-align: center"><b><font color=#231f20>BlackRock</font></b><br>

<b>Credit</b><br>

<b>Allocation</b><br>

<b>Income</b><br>

<b>Trust II, Inc.</b><br>

<b>(PSY)</b></td>
    <td colspan="3" style="text-align: center"><b><font color=#231f20>BlackRock</font></b><br>

<b>Credit</b><br>

<b>Allocation</b><br>

<b>Income</b><br>

<b>Trust III</b><br>

<b>(BPP)</b></td>
    <td colspan="3" style="text-align: center"><b>BlackRock</b><br>

<b>Credit</b><br>

<b>Allocation</b><br>

<b>Income</b><br>

<b>Trust IV</b><br>

<b>(BTZ)</b></td>
    <td colspan="3" style="text-align: center"><b><font color=#231f20>BlackRock</font></b><br>

<b>Floating</b><br>

<b>Rate</b><br>

<b>Income</b><br>

<b>Trust</b><br>

<b>(BGT)</b></td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Investment Income</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Interest</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>8,059,109</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>34,533,976</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>15,284,006</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>51,582,916</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>28,901,520</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Dividends &#151; unaffiliated</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>306,005</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>332,756</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>72,951</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,829,954</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Income &#151; affiliated</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>824</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>9,358</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>9,838</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>31,528</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>13,587</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Facility and other fees</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>111,972</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Total income</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>8,365,938</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>34,876,090</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>15,366,795</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>53,444,398</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>29,027,079</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=16>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Expenses</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Investment advisory</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>884,816</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,796,125</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,838,844</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,192,077</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,491,061</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Professional</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>60,097</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>461,461</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>80,727</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>389,219</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>317,644</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Accounting services</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>42,295</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>89,744</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>56,942</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>130,008</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>57,689</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Printing</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>10,042</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>44,563</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>64,686</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>158,254</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>62,789</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Custodian</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>20,124</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>40,640</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>29,681</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>60,001</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>161,912</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Officer and Directors</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>12,398</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>55,147</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>28,648</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>92,024</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>43,471</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Transfer agent</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>35,562</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>88,349</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>11,780</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>17,606</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>22,799</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Commissions for Preferred Shares</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,877</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>46,069</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>10,120</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>57,686</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>8,234</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Registration</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>9,372</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>14,227</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>9,372</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>18,070</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>9,481</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Borrowing costs</font><sup><font color=#231f20>1</font></sup></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>378,407</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Miscellaneous</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>31,665</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>54,068</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>43,785</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>85,353</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>74,392</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Total expenses excluding interest expense</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,112,248</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,690,393</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,174,585</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>7,200,298</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,627,879</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Interest expense</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>130,498</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>498,474</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>184,655</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>739,372</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,245,385</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Total expenses</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,242,746</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,188,867</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,359,240</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>7,939,670</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,873,264</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Less fees waived by advisor</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(896</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,835</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,273</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(10,610</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(431,176</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Less fees paid indirectly</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(21</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(75</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(23</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(136</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Total expenses after fees waived and paid indirectly</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,241,829</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,184,957</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,355,944</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>7,928,924</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,442,088</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Net investment income</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>7,124,109</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>29,691,133</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>13,010,851</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>45,515,474</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>23,584,991</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=16>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Realized and Unrealized Gain (Loss)</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Net realized gain (loss) from:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Investments</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,266,758</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>2,608,897</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,593,588</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,505,460</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,935,296</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Financial futures contracts</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,130,213</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(13,357,266</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,586,041</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(11,928,642</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Foreign currency transactions</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>11,537</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>31,217</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(25</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(5,403,756</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Options written</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(40,906</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(172,975</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(53,664</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(154,409</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Swaps</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(452,769</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1,816,534</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1,008,740</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(3,406,631</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,581</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(2,345,593</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(12,706,661</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(3,054,857</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(10,984,247</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(3,466,879</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Net change in unrealized appreciation/depreciation on:</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Investments</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(124,729</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(893,116</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(2,431,629</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(12,180,752</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(11,698,167</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Financial futures contracts</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>119,839</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>575,672</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>109,368</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(73,058</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Foreign currency transactions</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,925</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(15,599</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(3</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,277,129</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Options written</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(128,309</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(548,877</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(557,748</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,960,207</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Swaps</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(553,655</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(2,389,702</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(875,435</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(2,873,114</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(19,172</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Unfunded loan commitments</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(117,687</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(690,779</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(3,271,622</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(3,755,447</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(17,087,131</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(6,557,897</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Total realized and unrealized loss</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(3,036,372</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(15,978,283</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(6,810,304</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(28,071,378</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><font color=#231f20>(10,024,776</font></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr>

    <td colspan=16>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Dividends to Preferred Shareholders From</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Net investment income</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(61,138</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(506,078</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(23,469</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(646,135</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(90,614</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Net Increase in Net Assets Resulting from Operations</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>4,026,599</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13,206,772</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6,177,078</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>16,797,961</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13,469,601</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">See Note 6 of the Notes to the Financial Statements for
details of short-term borrowings.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 56 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->56<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_57"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_008"></A><FONT color=#394c87>Statements of Changes in Net Assets</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="6" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT color=#231f20>BlackRock Credit Allocation</FONT></B><BR>
<B>Income Trust I, Inc. (PSW)</B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="6" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT color=#231f20>BlackRock Credit Allocation</FONT></B><BR>
<B>Income Trust II, Inc. (PSY)</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=6><B><FONT color=#231f20>Year Ended October 31,</FONT></B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=6><B><FONT color=#231f20>Year Ended October 31,</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>2011</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-indent: 12pt; text-align: center"><B><FONT color=#231f20>2010</FONT></B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>2011</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-indent: 6pt; text-align: center"><B><FONT color=#231f20>2010</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="14" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Operations</FONT></B> </TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,124,109</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,504,548</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>29,691,133</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>29,526,710</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized loss</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,345,593</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(3,995,338</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(12,706,661</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(33,383,348</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(690,779</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,132,597</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(3,271,622</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>104,507,204</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends to Preferred Shareholders from net investment income</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(61,138</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(611,907</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(506,078</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(2,578,803</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt"><FONT color=#231f20>Net increase in net assets applicable to Common Shareholders resulting from<BR>
 operations</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>4,026,599</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>22,029,900</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>13,206,772</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>98,071,763</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=14>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="14" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Dividends and Distributions to Common Shareholders From</FONT></B> </TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(6,305,752</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(6,360,087</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(26,912,492</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(29,029,600</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Tax return of capital</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(909,831</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(5,350,650</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt"><FONT color=#231f20>Decrease in net assets resulting from dividends and distributions to Common <BR>
Shareholders</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(6,305,752</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(7,269,918</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid"></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(26,912,492</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(34,380,250</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR>
     <TD colSpan=14>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="14" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Net Assets Applicable to Common Shareholders</FONT></B> </TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total increase (decrease) in net assets applicable to Common Shareholders</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,279,153</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14,759,982</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(13,705,720</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>63,691,513</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Beginning of year</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>110,808,290</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>96,048,308</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>472,984,442</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>409,292,929</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>End of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>108,529,137</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>110,808,290</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>459,278,722</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>472,984,442</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Undistributed net investment income</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>810,163</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>114,857</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,350,278</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>324,705</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 57 -->
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<P STYLE="text-align: left"></P><A name="page_58"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Statements of Changes in Net Assets (continued)</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="6" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT color=#231f20>BlackRock Credit Allocation</FONT></B><BR>
<B>Income Trust III (BPP)</B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="6" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT color=#231f20>BlackRock Credit Allocation</FONT></B><BR>
<B>Income Trust IV (BTZ)</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=6><B><FONT color=#231f20>Year Ended October 31,</FONT></B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=6><B><FONT color=#231f20>Year Ended October 31,</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>2011</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-indent: 12pt; text-align: center"><B><FONT color=#231f20>2010</FONT></B></TD>
     <TD STYLE="text-align: center"></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>2011</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-indent: 6pt; text-align: center"><B><FONT color=#231f20>2010</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="14" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Operations</FONT></B> </TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,010,851</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,514,214</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>45,515,474</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>44,282,613</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized gain (loss)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(3,054,857</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(12,773,618</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(10,984,247</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>712,631</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(3,755,447</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>39,939,765</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(17,087,131</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>109,629,309</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends to Preferred Shareholders from net investment income</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(23,469</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(202,609</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(646,135</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(3,511,929</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt"><FONT color=#231f20>Net increase in net assets applicable to Common Shareholders resulting from<BR>
 operations</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>6,177,078</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>40,477,752</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>16,797,961</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>151,112,624</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=14>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="14" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Dividends and Distributions to Common Shareholders From</FONT></B> </TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(12,336,480</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(14,081,286</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(43,820,706</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(41,824,719</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Tax return of capital</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1,431,653</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(14,927,112</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; padding-left: 6pt; text-indent: -6pt"><FONT color=#231f20>Decrease in net assets resulting from dividends and distributions to Common<BR>
 Shareholders</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(12,336,480</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(15,512,939</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(43,820,706</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(56,751,831</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR>
     <TD colSpan=14>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="14" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Net Assets Applicable to Common Shareholders</FONT></B> </TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total increase (decrease) in net assets applicable to Common Shareholders</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(6,159,402</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>24,964,813</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(27,022,745</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>94,360,793</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Beginning of year</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>229,098,069</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>204,133,256</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>749,359,920</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>654,999,127</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>End of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>222,938,667</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>229,098,069</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>722,337,175</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>749,359,920</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Undistributed net investment income</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>787,825</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>328,304</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,025,075</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>525,038</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 58 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->58<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_59"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Statements of Changes in Net Assets (concluded)</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 9pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 72%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="6" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT color=#231f20>BlackRock</FONT></B><BR>
<B>Floating Rate Income Trust (BGT)</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=6><B><FONT color=#231f20>Year Ended October 31,</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Increase (Decrease) in Net Assets Applicable to Common Shareholders:</FONT></B></TD>
     <TD ALIGN="CENTER" COLSPAN="3"><B><FONT color=#231f20>2011</FONT></B></TD>
     <TD ALIGN="CENTER" COLSPAN="3"><B><FONT color=#231f20>2010</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="7" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Operations</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,584,991</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>22,931,750</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized loss</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(3,466,879</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(7,990,225</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net change in unrealized appreciation/depreciation</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(6,557,897</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>33,559,226</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends to Preferred Shareholders from net investment income</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(90,614</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(893,902</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net increase in net assets applicable to Common Shareholders resulting from operations</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>13,469,601</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>47,606,849</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="7" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Dividends and Distributions to Common Shareholders From</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(25,653,072</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(19,496,826</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="7" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Capital Share Transactions</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Reinvestment of common dividends</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>577,941</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>453,913</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=7>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="7" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Net Assets Applicable to Common Shareholders</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total increase (decrease) in net assets applicable to Common Shareholders</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(11,605,530</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>28,563,936</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Beginning of year</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>341,436,135</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>312,872,199</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>End of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>329,830,605</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>341,436,135</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Undistributed net investment income</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5,628,436</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10,644,933</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 59 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->59<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_60"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_009"></A><FONT color=#394c87>Statements of Cash Flows</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 50%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 6%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Year Ended October 31, 2011</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>BlackRock</FONT></B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust I, Inc.</B><BR>
<B>(PSW)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>BlackRock</FONT></B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust II, Inc.</B><BR>
<B>(PSY)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>BlackRock</FONT></B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust III</B><BR>
<B>(BPP)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>BlackRock</B><BR>
<B>Credit</B><BR>
<B>Allocation</B><BR>
<B>Income</B><BR>
<B>Trust IV</B><BR>
<B>(BTZ)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>BlackRock</FONT></B><BR>
<B>Floating</B><BR>
<B>Rate</B><BR>
<B>Income</B><BR>
<B>Trust</B><BR>
<B>(BGT)</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Cash Provided by (Used for) Operating Activities</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net increase in net assets resulting from operations, excluding dividends</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>to Preferred Shareholders</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,087,737</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,712,850</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,200,547</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17,444,096</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>13,560,215</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Adjustments to reconcile net increase in net assets resulting from operations</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>to net cash provided by (used for) operating activities:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>(Increase) decrease in interest receivable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(249,203</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1,102,309</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(846,444</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,134,979</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,627,555</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>(Increase) decrease in swap receivable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(13,608</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(62,192</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(61,081</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(213,170</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6,730</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>(Increase) decrease in other assets</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>166,547</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,256,816</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,461</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(6,890</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240,290</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Decrease in prepaid expenses</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,470</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>30,165</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>11,727</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>38,547</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>76,586</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Decrease in commitment fees receivable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,782</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>(Increase) decrease in dividends receivable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(336</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(225</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>706,335</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,272</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Decrease in margin variation receivable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,063</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14,375</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,625</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>166,094</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Decrease in dividends receivable &#151; affiliated</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>283</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>208</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Decrease in cash pledged as collateral for reverse</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 18pt; text-align: left"><FONT color=#231f20>repurchase agreements</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>158,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Increase in cash pledged as collateral for financial futures contracts</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(467,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,186,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(765,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1,759,940</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>(Increase) decrease in cash pledged as collateral for swaps</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(600,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1,270,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(4,650,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>100,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Increase in investment advisory fees payable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>676</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,213</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,332</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>11,705</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>42,578</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Increase in interest expense and fees payable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>31,064</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>143,409</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>69,913</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>361,942</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>34,189</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Decrease in other affiliates payable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(968</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(4,048</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1,856</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(6,636</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2,636</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Decrease in other liabilities</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(196,354</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Increase in other accrued expenses payable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>22,782</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>76,660</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>81,167</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>164,430</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>98,421</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Increase in margin variation payable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>287,296</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,253,555</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>383,266</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,208,177</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Increase in swaps payable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>32,658</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>135,503</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>72,862</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>240,074</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 12pt; text-align: left"><FONT color=#231f20>Increase (decrease) in Officer&#146;s and Directors&#146; fees payable</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>278</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,081</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,362</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,059</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,941</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net periodic and termination payments of swaps</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(148,959</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(631,396</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(403,942</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(915,325</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized and unrealized (gain) loss on investments</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(415,306</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,411,073</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,324,892</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12,666,726</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,801,747</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Amortization of premium and accretion of discount on investments</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>275,999</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,470,810</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>646,032</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,068,898</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(3,041,192</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Paid-in-kind income</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,982</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Premiums received from options written</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>255,600</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,087,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,141,085</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,937,635</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Proceeds from sales of long-term investments</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>76,845,818</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>312,213,871</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>133,081,838</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>506,046,675</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>424,548,661</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Purchases of long-term investments</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(84,611,768</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(341,244,282</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(181,824,016</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(611,946,163</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(449,027,119</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net proceeds from sales of short-term securities</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,521,166</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,077,859</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>32,006,613</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,101,556</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,698,944</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Premiums paid on closing options written</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(166,906</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(705,775</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(343,350</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1,168,344</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash provided by (used for) operating activities</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(130,564</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(13,316,615</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(7,882,984</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(54,460,498</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>587,592</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Cash Provided by (Used for) Financing Activities</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash receipts from borrowings</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>64,934,501</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>303,838,198</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>126,218,237</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>451,862,673</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>380,000,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash payments on borrowings</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(18,121,820</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(93,770,061</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(35,453,974</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(121,158,485</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(296,000,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash payments on redemption of Preferred Shares</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(40,250,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(169,025,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(70,425,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(231,000,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(58,800,000</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash dividends paid to Common Shareholders</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(6,309,486</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(26,938,952</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(12,360,466</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(43,957,502</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(25,027,670</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash dividends paid to Preferred Shareholders</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(70,242</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(572,540</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(25,813</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(691,245</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(102,862</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Increase (decrease) in bank overdraft</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(657,169</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash provided by (used for) financing activities</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>182,953</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>13,531,645</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>7,952,984</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>55,055,441</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(587,701</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Cash Impact from Foreign Exchange Fluctuations</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash impact from foreign exchange fluctuations</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(1,793</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(6,751</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>(3</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>109</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Cash and Foreign Currency</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net increase (decrease) in cash and foreign currency</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>50,596</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>208,279</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>69,997</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>594,944</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash and foreign currency at beginning of year</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1,401</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>500</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>57,939</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash and foreign currency at end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>51,997</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>208,279</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>70,497</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>652,883</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Cash Flow Information</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Cash paid during the year for interest and fees</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>99,434</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>355,065</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>114,742</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>377,430</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,211,196</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Noncash Financing Activities</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Capital shares issued in reinvestment of dividends paid to Common Shareholders</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>577,941</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt"><FONT STYLE="color: #231f20">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 total assets.&nbsp;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 60 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->60<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_61"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="42%"></TD>
     <TD width="57%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><A NAME="a_010"></A><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust I, Inc. (PSW)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 55%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=15><B>Year Ended October 31,</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="3"><B><FONT color=#231f20>2011</FONT></B></TD>
     <TD ALIGN="CENTER" COLSPAN="3"><B>2010</B></TD>
     <TD ALIGN="CENTER" COLSPAN="3"><B>2009</B></TD>
     <TD ALIGN="CENTER" COLSPAN="3"><B>2008</B></TD>
     <TD ALIGN="CENTER" COLSPAN="3"><B>2007</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Per Share Operating Performance</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net asset value, beginning of year</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10.75</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>9.31</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7.43</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>19.54</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>22.25</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.69</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.63</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.86</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.70</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2.01</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized and unrealized gain (loss)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(0.30</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.58</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2.06</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(12.06</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2.41</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends to Preferred Shareholders from net investment income</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.01</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.06</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.08</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.48</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.71</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net increase (decrease) from investment operations</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>0.38</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2.15</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2.84</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(10.84</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1.11</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends and distributions to Common Shareholders from:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(0.61</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(0.62</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(0.83</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1.22</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1.18</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Tax return of capital</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.09</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.05</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.42</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total dividends and distributions</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.61</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.71</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.96</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1.27</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1.60</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net asset value, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10.52</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10.75</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9.31</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>7.43</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>19.54</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Market price, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9.25</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9.67</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>8.24</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>7.00</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>17.29</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Total Investment Return Applicable to Common Shareholders</FONT></B><B><SUP><FONT STYLE="color: #394c87">2</FONT></SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Based on net asset value</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>4.55</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>24.77</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT><SUP><FONT color=#231f20>3</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>46.46</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(58.09</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(5.03</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Based on market price</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2.20</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>26.81</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>37.59</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(55.38</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(12.05</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total expenses</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.14</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.16</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.61</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2.00</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.32</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total expenses after fees waived and paid indirectly</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.14</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.14</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.59</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2.00</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.32</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total expenses after fees waived and paid indirectly and excluding</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>interest expense</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.02</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.13</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.44</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.48</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.29</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.56</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.28</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>12.45</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10.79</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9.38</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends to Preferred Shareholders</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.06</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.59</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.09</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3.03</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3.29</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income to Common Shareholders</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.50</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5.69</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>11.36</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>7.76</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.09</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Supplemental Data</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net assets applicable to Common Shareholders, end of year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>108,529</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>110,808</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>96,048</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>76,430</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>201,155</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Preferred Shares outstanding at $25,000 liquidation preference,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>end of year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>40,250</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>40,250</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>68,250</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>136,500</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Borrowings outstanding, end of year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>53,268</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6,083</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>4,972</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>4,024</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>590</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Average borrowings outstanding during the year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>34,952</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5,269</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5,321</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>25,692</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,690</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Portfolio turnover</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>53</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>66</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>36</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>119</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>88</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asset coverage per Preferred Share at $25,000 liquidation preference,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>93,831</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>84,663</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>53,009</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>61,846</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asset coverage, end of period per $1,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3,037</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Based on average shares outstanding.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Includes proceeds from a settlement of litigation which
impacted the Fund. Not including these proceeds the Fund&#146;s total return would have been 24.54%.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Do not reflect the effect of dividends to Preferred Shareholders.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 61 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->61<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_62"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="42%"></TD>
     <TD width="57%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust II, Inc. (PSY)</FONT></B></TD></TR></TABLE><BR>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 55%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 5%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=15><B>Year Ended October 31,</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B><FONT color=#231f20>2011</FONT></B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>2010</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>2009</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>2008</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center"><B>2007</B></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Per Share Operating Performance</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net asset value, beginning of year</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>11.59</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>10.03</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>7.96</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>19.93</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>22.36</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT><SUP><FONT color=#231f20>1</FONT></SUP></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.73</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.72</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.11</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.73</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2.02</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net realized and unrealized gain (loss)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(0.40</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.74</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2.17</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(11.84</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(2.35</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends to Preferred Shareholders from net investment income</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.01</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.06</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.09</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.49</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.73</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net increase (decrease) from investment operations</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>0.32</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2.40</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3.19</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(10.60</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1.06</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends and distributions to Common Shareholders from:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Net investment income</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(0.66</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(0.71</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1.12</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1.15</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>(1.16</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Tax return of capital</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.13</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.00</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT><SUP><FONT color=#231f20>2</FONT></SUP></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.22</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.21</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total dividends and distributions</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.66</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(0.84</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1.12</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1.37</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>(1.37</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net asset value, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>11.25</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>11.59</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10.03</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>7.96</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>19.93</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Market price, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9.74</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10.39</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>8.90</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>8.10</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>16.94</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Total Investment Return Applicable to Common Shareholders</FONT></B><B><SUP><FONT STYLE="color: #394c87">3</FONT></SUP></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Based on net asset value</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3.71</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>25.70</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT><SUP><FONT color=#231f20>4</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>48.36</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(55.71</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(4.35</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Based on market price</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.16</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>26.99</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>29.37</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(46.97</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>(9.65</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>)%</FONT></TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Ratios to Average Net Assets Applicable to Common Shareholders</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total expenses</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.12</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.04</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.41</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.90</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.27</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total expenses after fees waived and paid indirectly</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.12</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.03</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.41</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.90</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.27</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Total expenses after fees waived and paid indirectly and excluding</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>interest expense</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.01</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.02</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.33</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.40</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.23</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income</FONT><SUP><FONT color=#231f20>5</FONT></SUP></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.42</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.66</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>15.05</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>10.71</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9.29</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Dividends to Preferred Shareholders</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.11</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>0.58</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1.19</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3.04</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3.34</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net investment income to Common Shareholders</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.31</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>6.08</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>13.86</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>7.67</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>5.95</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="16" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Supplemental Data</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Net assets applicable to Common Shareholders, end of year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>459,279</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>472,984</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>409,293</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>323,132</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>809,411</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Preferred Shares outstanding at $25,000 liquidation preference,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>end of year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>169,025</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>169,025</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>275,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>550,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Borrowings outstanding, end of year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>213,033</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>4,020</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>9,511</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>54,369</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Average borrowings outstanding during the year (000)</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>137,824</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>13,407</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>15,842</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>94,908</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>14,375</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Portfolio turnover</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>50</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>73</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>16</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>120</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>81</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asset coverage per Preferred Share at $25,000 liquidation preference,</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>94,968</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>85,547</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>54,408</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>61,817</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Asset coverage, end of year per $1,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3,156</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Based on average shares outstanding.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Amount is less than $(0.01) per share.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Includes proceeds from a settlement of litigation which
impacted the Fund. Not including these proceeds the Fund&#146;s total return would have been 25.37%.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Do not reflect the effect of dividends to Preferred Shareholders.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 62 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->62<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_63"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="43%"></TD>
     <TD width="56%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust III (BPP)</FONT></B></TD></TR></TABLE><BR>
<table cellspacing="0" cellpadding="0" border="0" style="font: 8pt Arial; width: 100%">

  <tr>

    <td style="width: 45%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 3%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
  </tr>


  <tr valign=bottom>
    <td style="text-align: center">&nbsp;</td>
    <td colspan="9" style="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20><br>
      <br>
Year Ended October 31,</font></b></td>
    <td colspan="3" style="text-align: center" rowspan="2"><b>Period</b><br>

<b>January 1,<br>
      2008</b> <b>to </b><b>October 31,</b><br>

<b>2008</b></td>
    <td colspan="6" nowrap style="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20><br>
      <br>
Year Ended December 31,</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: center">&nbsp;</td>
    <td colspan="3" style="text-align: center"><b><font color=#231f20>2011</font></b></td>
    <td colspan="3" style="text-align: center"><b>2010</b></td>
    <td colspan="3" style="text-align: center"><b>2009</b></td>
    <td colspan="3" style="text-align: center"><b>2007</b></td>
    <td colspan="3" style="text-align: center"><b>2006</b></td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Per Share Operating Performance</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net asset value, beginning of year</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>12.41</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>11.05</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>8.77</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>19.47</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>24.52</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>24.43</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.70</font><sup></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.73</font><sup></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1.09</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20></font><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1.48</font><sup></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2.05</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2.05</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net realized and unrealized gain (loss)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.37</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1.48</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2.40</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(10.74</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(4.72</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>0.62</font></td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends and distributions to Preferred Shareholders from:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.00</font></td>
    <td style="text-align: left"><font color=#231f20>)</font><sup><font color=#231f20>2</font></sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.01</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.03</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.31</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.62</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.46</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net realized gain</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.12</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net increase (decrease) from investment operations</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.33</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2.20</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3.46</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(9.57</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(3.29</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2.09</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends and distributions to Common Shareholders from:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.67</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.76</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.95</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.83</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.59</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.58</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net realized gain</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.02</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.42</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Tax return of capital</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.08</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.23</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.30</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.15</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total dividends and distributions</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.67</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.84</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.18</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.13</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.76</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(2.00</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net asset value, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12.07</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12.41</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>11.05</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.77</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>19.47</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>24.52</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Market price, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10.53</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>11.23</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>9.94</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.51</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>17.31</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>26.31</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=19>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Total Investment Return Applicable to Common Shareholders</font></b><b><sup><font style="color: #394c87">3</font></sup></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Based on net asset value</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3.56</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>21.52</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>47.16</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(51.22</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font><sup><font color=#231f20>4</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(13.86</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.89</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Based on market price</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(0.16</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>22.25</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>36.42</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(46.76</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font><sup><font color=#231f20>4</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(28.62</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>17.98</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr>

    <td colspan=19>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Ratios to Average Net Assets Applicable to Common Shareholders</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.05</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.09</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.66</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.96</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.46</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.62</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses after fees waived and paid indirectly</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.05</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.08</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.64</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.96</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.45</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.62</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses after fees waived and paid indirectly and excluding</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>interest expense</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.96</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.07</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.39</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.39</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.24</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.25</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5.78</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.31</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13.08</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10.53</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.90</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.46</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends to Preferred Shareholders</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.01</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.10</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.38</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2.19</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2.70</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.89</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income to Common Shareholders</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5.77</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.21</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12.70</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.34</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.20</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.58</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr>

    <td colspan=19>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Supplemental Data</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net assets applicable to Common Shareholders,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>222,939</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>229,098</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>204,133</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>161,311</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>358,017</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>449,995</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Preferred Shares outstanding at $25,000 liquidation preference,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>70,425</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>70,425</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>110,400</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>220,800</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>220,800</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Borrowings outstanding, end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>92,971</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13,235</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>44,281</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Average borrowings outstanding during the year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>51,264</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2,121</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>16,330</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>51,995</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>903</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,303</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Portfolio turnover</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>48</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>67</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>16</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>121</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>97</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>91</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Asset coverage per Preferred Share at $25,000 liquidation </font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>preference, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>106,328</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>97,465</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>61,540</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>65,554</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>75,965</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Asset coverage, end of year per $1,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3,398</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Based on average shares outstanding.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Amount is less than $(0.01) per share.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Aggregate total investment return.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Do not reflect the effect of dividends to Preferred Shareholders.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>6&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Annualized.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 63 -->
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<P STYLE="text-align: left"></P><A name="page_64"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="44%"></TD>
     <TD width="55%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Credit Allocation Income Trust IV (BTZ)</FONT></B></TD></TR></TABLE><BR>
<table cellspacing="0" cellpadding="0" border="0" style="font: 8pt Arial; width: 100%">

  <tr>

    <td style="width: 53%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 1%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 8%"></td>
    <td style="width: 2%"></td>
  </tr>


  <tr valign=bottom>
    <td style="text-align: center">&nbsp;</td>
    <td colspan="12" style="text-align: center; border-bottom: Black 1pt solid"><b><br>
      <br>
Year Ended October 31,</b></td>
    <td align="CENTER" colspan="3" rowspan="2"><b>Period</b><br>

<b>December 27,</b><br>

<b>2006</b><b><sup>1</sup></b> <b>to <br>
October 31,</b><br>

<b>2007</b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: center">&nbsp;</td>
    <td align="CENTER" colspan="3"><b><font color=#231f20>2011</font></b></td>
    <td align="CENTER" colspan="3"><b>2010</b></td>
    <td align="CENTER" colspan="3"><b>2009</b></td>
    <td align="CENTER" colspan="3"><b>2008</b></td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Per Share Operating Performance</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net asset value, beginning of year</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>14.46</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>12.64</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>10.59</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>21.39</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>23.88</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20></font><sup><font color=#231f20>2</font></sup></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>0.88</font><sup></sup></td>
    <td style="text-align: left"><sup><font color=#231f20>3</font></sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>0.85</font><sup></sup></td>
    <td style="text-align: left"><sup><font color=#231f20>3</font></sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>0.99</font><sup></sup></td>
    <td style="text-align: left"><sup><font color=#231f20>3</font></sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1.33</font><sup></sup></td>
    <td style="text-align: left"><sup><font color=#231f20>3</font></sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1.25</font></td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net realized and unrealized gain (loss)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.54</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2.14</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2.54</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(10.06</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.86</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends to Preferred Shareholders from net investment income</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.01</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.07</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.07</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.33</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.31</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net increase (decrease) from investment operations</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.33</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2.92</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3.46</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(9.06</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.92</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends and distributions to Common Shareholders from:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.85</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.81</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.93</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.90</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.93</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Tax return of capital</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.29</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.48</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.84</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.47</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total dividends and distributions</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.85</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.10</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.41</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.74</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.40</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Capital charge with respect to issuance of:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Common Shares</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.04</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Preferred Shares</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.13</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total capital charges</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.17</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net asset value, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13.94</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>14.46</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12.64</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10.59</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>21.39</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Market price, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12.08</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13.02</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10.96</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>9.36</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>18.65</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=16>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Total Investment Return Applicable to Common Shareholders</font></b><b><sup><font style="color: #394c87">4</font></sup></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Based on net asset value</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3.28</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>25.16</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>41.06</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(44.27</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(4.42</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left" nowrap><font color=#231f20>)%</font><sup><font color=#231f20>5</font></sup></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Based on market price</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(0.60</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>29.98</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>38.38</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(43.51</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(20.34</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font><sup><font color=#231f20>5</font></sup></td>
  </tr>

  <tr>

    <td colspan=16>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Ratios to Average Net Assets Applicable to Common Shareholders</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.09</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.12</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.60</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.65</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.90</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>7</font></sup></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses after fees waived and paid indirectly</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.09</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.11</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.58</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.65</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.88</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>7</font></sup></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses after fees waived and paid indirectly and excluding interest expense</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.99</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.07</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.24</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.21</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.04</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>7</font></sup></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.25</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.33</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>9.93</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>7.63</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.50</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>7</font></sup></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends to Preferred Shareholders</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.09</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.50</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.74</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.89</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.64</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>7</font></sup></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income to Common Shareholders</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.16</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5.83</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>9.19</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5.74</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>4.86</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>7</font></sup></td>
  </tr>

  <tr>

    <td colspan=16>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="16" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Supplemental Data</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net assets applicable to Common Shareholders, end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>722,337</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>749,360</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>654,999</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>548,612</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1,108,534</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Preferred Shares outstanding at $25,000 liquidation preference, end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>231,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>231,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>231,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>462,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Borrowings outstanding, end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>339,303</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>61,576</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>223,512</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>88,291</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Average borrowings outstanding during the year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>182,843</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>63,660</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>76,521</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>107,377</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>96,468</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Portfolio turnover</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>54</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>64</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>30</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>126</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>35</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Asset coverage per Preferred Share at $25,000 liquidation preference, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>106,104</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>95,892</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>84,384</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>89,737</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Asset coverage, end of year per $1,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3,129</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Commencement of operations.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Based on average shares outstanding.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Aggregate total investment return.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>6&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Do not reflect the effect of dividends to Preferred Shareholders.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>7&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Annualized.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>
<!-- Field: Page; Sequence: 64 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->64<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_65"></A><BR>
<TABLE style="FONT-SIZE: 10pt; FONT-FAMILY: 'Arial'" cellSpacing=0 cellPadding=0 width="100%" border=0>
<TR>
     <TD width="45%"></TD>
     <TD width="54%"></TD></TR>
<TR STYLE="vertical-align: bottom"> <TD style="font: 14pt Arial, Helvetica, Sans-Serif; border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><FONT color=#394c87>Financial Highlights</FONT></TD>
     <TD align=right style="border-top: rgb(57,76,135) 4pt solid; color: rgb(57,76,135)"><B><FONT color=#394c87>BlackRock Floating Rate Income Trust (BGT)</FONT></B></TD></TR></TABLE><BR>
<table cellspacing="0" cellpadding="0" border="0" style="font: 8pt Arial; width: 100%">

  <tr>

    <td style="width: 46%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
    <td style="width: 2%"></td>
    <td style="width: 5%"></td>
    <td style="width: 2%"></td>
  </tr>


  <tr valign=bottom>
    <td style="text-align: left">&nbsp;</td>
    <td colspan="9" style="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20><br>
      <br>
      Year Ended October 31,</font></b></td>
    <td align="CENTER" colspan="3" rowspan="2"><b><font color=#231f20>Period</font></b><br>

<b>January 1,</b><br>

<b>2008</b> <b>to <br>
      </b><b>October 31,</b><br>

<b>2008</b></td>
    <td colspan="6" style="text-align: center; border-bottom: Black 1pt solid"><b><br>
      <br>
      Year Ended December 31,</b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left">&nbsp;</td>
    <td align="CENTER" colspan="3"><b><font color=#231f20>2011</font></b></td>
    <td align="CENTER" colspan="3"><b>2010</b></td>
    <td align="CENTER" colspan="3"><b>2009</b></td>
    <td align="CENTER" colspan="3"><b>2007</b></td>
    <td align="CENTER" colspan="3"><b>2006</b></td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Per Share Operating Performance</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net asset value, beginning of year</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>14.48</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>13.29</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>11.24</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>17.71</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>19.11</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>19.13</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1.00</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20></font><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.97</font><sup></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.98</font><sup></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1.42</font><sup></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><sup><font color=#231f20>1</font></sup></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2.03</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1.99</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net realized and unrealized gain (loss)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.42</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>1.09</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>2.72</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(6.62</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.39</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.06</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends and distributions to Preferred Shareholders from:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.00</font></td>
    <td style="text-align: left"><font color=#231f20>)</font><sup><font color=#231f20>2</font></sup></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.04</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.04</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.24</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.54</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.48</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net realized gain</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.01</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net increase (decrease) from investment operations</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.58</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2.02</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3.66</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(5.44</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>0.10</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1.44</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends and distributions to Common Shareholders from:</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net investment income</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.09</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.83</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.19</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.03</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.14</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(1.44</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Net realized gain</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right"><font color=#231f20>(0.02</font></td>
    <td style="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>Tax return of capital</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.42</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.36</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total dividends and distributions</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.09</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(0.83</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.61</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.03</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.50</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(1.46</font></td>
    <td style="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net asset value, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13.97</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>14.48</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13.29</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>11.24</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>17.71</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>19.11</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Market price, end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>13.00</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>14.52</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12.58</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>9.63</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>15.78</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>19.27</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr>

    <td colspan=19>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Total Investment Return Applicable to Common Shareholders</font></b><b><sup><font style="color: #394c87">3</font></sup></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Based on net asset value</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>4.03</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>15.55</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>39.51</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(31.62</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left" nowrap><font color=#231f20>)%</font><sup><font color=#231f20>4</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.98</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>7.93</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Based on market price</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(3.46</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>22.41</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>54.14</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(34.24</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font><sup><font color=#231f20>4</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(10.92</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>21.31</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr>

    <td colspan=19>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Ratios to Average Net Assets Applicable to Common Shareholders</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.73</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.43</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.96</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2.22</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.67</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.75</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses after fees waived and paid indirectly</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.60</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.25</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.68</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.89</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.33</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.43</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Total expenses after fees waived and paid indirectly and excluding</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>interest expense</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.24</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.15</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.24</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.21</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.16</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.19</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income</font><sup><font color=#231f20>5</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.95</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>7.01</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.92</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10.56</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10.83</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10.38</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Dividends to Preferred Shareholders</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.03</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.27</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>0.38</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>1.75</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2.88</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>2.51</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net investment income to Common Shareholders</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.92</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6.74</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.54</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>8.81</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font><sup><font color=#231f20>6</font></sup></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>7.95</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>7.87</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr>

    <td colspan=19>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td colspan="19" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Supplemental Data</font></b></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Net assets applicable to Common Shareholders,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>329,831</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>341,436</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>312,872</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>264,590</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>417,086</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>449,065</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Preferred Shares outstanding at $25,000 liquidation preference,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>58,800</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>58,800</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>58,800</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>243,450</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>243,450</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Borrowings outstanding, end of year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>122,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>38,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>14,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>123,150</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>26,108</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Average borrowings outstanding during the year (000)</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>120,334</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>24,321</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>53,156</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>71,780</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>10,524</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>19,562</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Portfolio turnover</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>89</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>87</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>42</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>25</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>41</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>50</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>%</font></td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Asset coverage per Preferred Share at $25,000 liquidation preference,</font></td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: right">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
    <td style="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-indent: 6pt; text-align: left"><font color=#231f20>end of year</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>170,174</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>158,029</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>137,505</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>67,849</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>73,810</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <td style="text-align: left"><font color=#231f20>Asset coverage, end of year per $1,000</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>3,704</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
    <td style="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <td style="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Based on average shares outstanding.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Amount is less than $(0.01) per share.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">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. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>4&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Aggregate total investment return.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>5&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Do not reflect the effect of dividends to Preferred Shareholders.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>6&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Annualized.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>See Notes to Financial Statements.</FONT></P>

<!-- Field: Page; Sequence: 65 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->65<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="text-align: left"></P><A name="page_66"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_011"></A><FONT color=#394c87>Notes to Financial Statements</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>1. Organization and Significant Accounting Policies:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BlackRock Credit Allocation Income Trust I, Inc. (&#147;PSW&#148;) and BlackRock Credit Allocation Income Trust II, Inc. (&#147;PSY&#148;) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;). BlackRock Credit Allocation Income Trust III (&#147;BPP&#148;), BlackRock Credit Allocation Income Trust IV (&#147;BTZ&#148;) and BlackRock Floating Rate Income Trust (&#147;BGT&#148;) are registered as non-diversified, closed-end management investment companies under the 1940 Act. PSW and PSY are organized as Maryland corporations. BPP, BTZ and BGT are organized as Delaware statutory trusts. PSW, PSY, BPP, BTZ and BGT are collectively referred to as the &#147;Funds&#148; or individually as the &#147;Fund&#148;. The Funds&#146; financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (&#147;US GAAP&#148;), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Board of Directors and Board of Trustees of the Funds, as applicable, are referred to throughout this report as the &#147;Board of Directors&#148; or the &#147;Board&#148; and the directors, thereof are collectively referred to throughout this report as &#147;Directors.&#148; The Funds determine, and make available for publication the NAVs of their Common Shares on a daily basis.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following is a summary of significant accounting policies followed by the Funds:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Valuation:</B> US GAAP defines fair value as the price the Funds would
receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement
date. The Funds fair value their financial instruments at market value using independent dealers or pricing services under policies
approved by the Board. The Funds value their bond investments on the basis of last available bid prices or current market quotations
provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more
brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may
use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions
in comparable investments, various relationships observed in the market between investments and calculated yield measures. Financial
futures contracts traded on exchanges are valued at their last sale price. Swap agreements are valued utilizing quotes received
daily by the Funds&#146; pricing service or through brokers, which are derived using daily swap curves and models that incorporate
a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments
in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities
of 60 days or less may be valued at amortized cost, which approximates fair value.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Municipal investments (including commitments to purchase such investments on a &#147;when-issued&#148; basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (&#147;NASDAQ&#148;) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day&#146;s price will be used, unless it is determined that such prior day&#146;s price no longer reflects the fair value of the security.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (&#147;NYSE&#148;). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day&#146;s price will be used, unless it is determined that the prior day&#146;s price no longer reflects the fair value of the option. Over-the-counter (&#147;OTC&#148;) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (&#147;Fair Value Assets&#148;). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm&#146;s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Fund&#146;s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and</FONT></P>
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>foreign exchange-traded and OTC options (the &#147;Systematic Fair Value Price&#148;). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Foreign Currency Transactions:</B> The Funds&#146; books and records
are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on
the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Funds&#146;
investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs
if the US dollar falls in relative value.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are segregated on the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Funds report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Asset-Backed Securities:</B> The Funds may invest in asset-backed
securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership
interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are
generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such
debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties.
The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference
is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may
be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments
as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed
security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Fund has
purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal
to the extent of the premium paid.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Collateralized Debt Obligations:</B> The Funds may invest in
collateralized debt obligations (&#147;CDOs&#148;), which include collateralized bond obligations (&#147;CBOs&#148;) and
collateralized loan obligations (&#147;CLOs&#148;). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy
remote entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows
of the CDO can be split into multiple segments, called &#147;tranches&#148;, which will vary in risk profile and yield. The
riskiest segment is the subordinated or &#147;equity&#148; tranche. This tranche bears the greatest risk of defaults from the
underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe
circumstances. Since it is shielded from defaults by the more junior tranches, a &#147;senior&#148; tranche will typically
have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from
one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior
tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the
disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of
assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Zero-Coupon Bonds:</B> The Funds may invest in zero-coupon bonds,
which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon
bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest
payments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Capital Trusts:</B> The Funds may invest in capital trusts. These
securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics,
or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures
or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can
have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration,
although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not
affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather
than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company&#146;s
senior debt securities.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Preferred Stock:</B> The Funds may invest in preferred stocks. Preferred
stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to
the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate
and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible
preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities
and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value
of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on
debt securities, preferred stock dividends are payable only if declared by the issuer&#146;s board of directors. Preferred stock
also may be subject to optional or mandatory redemption provisions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Floating Rate Loan Interests:</B> The Funds may invest in floating
rate loan interests. The floating rate loan interests the Funds hold are typically issued to companies (the &#147;borrower&#148;)
by banks, other financial institutions, and privately and publicly offered corporations (the &#147;lender&#148;). Floating rate
loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain
and companies that are highly</FONT></P>

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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of their investment policies.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>When a Fund purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Floating rate loan interests are usually freely callable at the borrower&#146;s option. The Funds may invest in such loans in the form of participations in loans (&#147;Participations&#148;) or assignments (&#147;Assignments&#148;) of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds&#146; investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Reverse Repurchase Agreements:</B> The Funds may enter into
reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell
securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price.
Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the
reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of
issuance. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned
from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse
repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Funds are
obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities
under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Funds&#146; use of the proceeds of the
agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the
Funds&#146; obligation to repurchase the securities.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Segregation and Collateralization:</B> In cases in which the 1940
Act and the interpretive positions of the Securities and Exchange Commission (&#147;SEC&#148;) require that the Funds either deliver
collateral or segregate assets in connection with certain investments (e.g., financial futures contracts, foreign currency exchange
contracts, swaps and options written), or certain borrowings (e.g., reverse repurchase agreements and loan payable), the Funds
will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their
books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required
to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers,
each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Investment Transactions and Investment Income:</B> For financial reporting
purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains
and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend
dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are
informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on
capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate
investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including
amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Dividends and Distributions:</B> Dividends from net investment income
are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and
distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total
distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in
accordance with federal income tax regulations, which may differ</FONT></P>
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>from US GAAP. Dividends and distributions to Preferred Shareholders are accrued and determined as described in Note 6.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Income Taxes:</B> It is each Fund&#146;s policy to comply with the
requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute
substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BGT has a wholly owned taxable subsidiary organized as a limited liability company (the &#147;Taxable Subsidiary&#148;) which is listed in the Schedule of Investments. The Taxable Subsidiary enables the Fund to hold an investment that is organized as an operating partnership while still satisfying Regulated Investment Company tax requirements. Income earned on the investment held by the Taxable Subsidiary is taxable to such subsidiary. An income tax provision for all income, including realized and unrealized gains, if any, of the Taxable Subsidiary is reflected as a reduction in the value of the Taxable Subsidiary.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund&#146;s US federal tax returns remains open for each of the four years ended October 31, 2011. The statutes of limitations on each Fund&#146;s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Recent Accounting Standard:</B> In May 2011, the Financial Accounting
Standards Board issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures
for fair value measurements categorized as Level 3: quantitative information about unobservable inputs and assumptions used in
the fair value measurement, a description of the valuation policies and procedures and a narrative description of sensitivity
of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs.
In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The
amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods
within those fiscal years. Management is evaluating the impact of this guidance on the Funds&#146; financial statements and disclosures.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Deferred Compensation and BlackRock Closed-End Share Equivalent Investment
Plan:</B> Under the deferred compensation plan approved by each Fund&#146;s Board, independent Directors (&#147;Independent Directors&#148;)
may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent
dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors.
This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the
deferred amounts directly in certain other BlackRock Closed-End Funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Fund&#146;s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in income &#151; affiliated in the Statements of Operations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Other:</B> Expenses directly related to the Funds are charged to that
Fund. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or
other appropriate methods.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>2. Derivative Financial Instruments:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risk (commodity price risk and inflation risk). These contracts may be transacted on an exchange or OTC.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds&#146; maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Funds do not give rise to counterparty credit risk, as options written obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (&#147;ISDA Master Agreement&#148;) implemented between a Fund and each of its respective counterparties. An ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instrument&#146;s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise,</FONT></P>

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<P STYLE="text-align: left"></P><A name="page_70"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>the Funds bear the risk of loss from counterparty non-performance. See Note 1 &#147;Segregation and Collateralization&#148; for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds&#146; net assets decline by a stated percentage or the Funds fails to meet the terms of its ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Financial Futures Contracts:</B> The Funds purchase or sell financial
futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest
rates (interest rate risk). Financial futures contracts are agreements between the Funds and the counterparty to buy or sell a
specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular
contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or
by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Funds agree to receive from or pay
to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as
margin variation and are recorded by the Funds as unrealized appreciation or depreciation. When the contract is closed, the Funds
record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value
at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements
in the price of financial futures contracts, interest rates and the underlying assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Foreign Currency Exchange Contracts:</B> The Funds enter into foreign
currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure
to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two
parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by
the Funds, help to manage the overall exposure to the currencies, in which some of the investments held by the Funds are denominated.
The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss.
When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it
was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the
value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies
and the risk that a counterparty to the contract does not perform its obligations under the agreement.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Options:</B> The Funds purchase and write call and put options
to increase or decrease their exposure to underlying instruments (including credit risk, equity risk and/or interest rate
risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser
(holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option
is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option
period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the
exercise or strike price at any time or at a specified time during the option period. When the Funds purchase (writes) an
option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the
asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written).
When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to
(or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold.
When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the
extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the
premiums received or paid). When the Funds write a call option, such option is &#147;covered,&#148; meaning that the Funds
hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such
option is covered by cash in an amount sufficient to cover the obligation.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Funds may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security at a price different from the current market value.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Swaps:</B> The Funds enter into swap agreements, in which the Funds
and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination.
These payments received or made by the Funds are recorded in the Statements of Operations as realized gains or losses, respectively.
Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the
term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).
When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or
cost of) the closing transaction and the Funds&#146; basis in the contract, if any. Generally, the basis of the contracts is the
premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in
excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will
be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or
disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates
and/or market values associated with these transactions.</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Credit default swaps &#151; The Funds enter into credit
default swaps to manage their exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults
of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise
exposed (credit risk). The Funds enter into credit default swap agreements to provide a measure of protection&nbsp;</FONT></TD></TR></TABLE>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->70<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_71"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P STYLE="margin-top: 0; margin-bottom: 6pt; margin-left: 22pt; text-indent: 0pt"><FONT STYLE="color: #231f20">against the default
of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller
of protection). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign),
a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in
which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific
payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation
accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer
pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should
a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs.
As a buyer, if an underlying credit event occurs, the Funds will either receive from the seller an amount equal to the notional
amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement
of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the
index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the
notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay
a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities
comprising the index.&nbsp;</FONT></P>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 10pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">&#149;&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Interest rate swaps &#151; The Funds enter into interest
rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically
hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps
are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party&#146;s
stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate
floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to
the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional
principal amount may decline (or amortize) over time.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Derivative Financial Instruments Categorized by Risk Exposure:</B></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="text-align: center"></TD>
     <TD STYLE="text-align: center; width: 30%"></TD>
     <TD STYLE="text-align: center; width: 2%"></TD>
     <TD STYLE="text-align: center; width: 6%"></TD>
     <TD STYLE="text-align: center; width: 2%"></TD>
     <TD STYLE="text-align: center; width: 6%"></TD>
     <TD STYLE="text-align: center; width: 2%"></TD>
     <TD STYLE="text-align: center; width: 6%"></TD>
     <TD STYLE="text-align: center; width: 2%"></TD>
     <TD STYLE="text-align: center; width: 6%; padding-right: 6pt"></TD>
     <TD STYLE="text-align: center; width: 2%"></TD>
     <TD STYLE="text-align: center; width: 6%"></TD></TR>
<TR vAlign=bottom>
     <TD COLSPAN="12" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Fair Values of Derivative Financial Instruments as of October 31, 2011</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: #000000 1px solid">&nbsp;</TD>
     <TD ALIGN="CENTER" COLSPAN="10" STYLE="border-bottom: #000000 1px solid"><B>Asset Derivatives</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B>PSW</B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>PSY</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>BPP</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>BTZ</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B>BGT</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Statements of Assets</FONT></B><BR>
<B>and Liabilities Location</B></TD>
     <TD COLSPAN="10" STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Foreign currency exchange contracts</FONT></TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Unrealized appreciation on</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>foreign currency contracts</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 6pt"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>31,161</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interest rate contracts</FONT></TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Net unrealized appreciation/</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>depreciation**; Investments at</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>value-unaffiliated</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>254,209</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,079,744</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>507,185</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6pt"><FONT color=#231f20>1,665,047</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit contracts</FONT></TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Unrealized appreciation on swaps;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Investments at value &#151; unaffiliated</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>18,602</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>76,586</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>49,383</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6pt"><FONT color=#231f20>109,238</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>272,811</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>1,156,330</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>556,568</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 6pt"><FONT color=#231f20>1,774,285</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>31,161</FONT></TD></TR>
<TR>
     <TD colSpan=12>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-top: Black 1pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="10" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT STYLE="color: #231f20">Liability Derivatives</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B>PSW</B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>PSY</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>BPP</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>BTZ</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B>BGT</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Statements of Assets</FONT></B><BR>
<B>and Liabilities Location</B></TD>
     <TD COLSPAN="10" STYLE="border-bottom: Black 1pt solid; text-align: center"><B>Value</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Foreign currency exchange contracts</FONT></TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Unrealized depreciation on</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>foreign currency contracts</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,106</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,016</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 6pt"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>721,973</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interest rate contracts</FONT></TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Net unrealized appreciation/</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>depreciation*; Unrealized depreciation</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>on swaps; Options written at value</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>783,749</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,397,773</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,520,111</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 6pt"><FONT color=#231f20>8,510,824</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit contracts</FONT></TD>
     <TD STYLE="text-indent: 0px; text-align: left"><FONT color=#231f20>Unrealized depreciation on swaps;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left; padding-right: 6pt">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 0px; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Options written at value</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>122,614</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>522,219</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>251,070</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 6pt"><FONT color=#231f20>865,805</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Total</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>908,469</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>3,929,008</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>2,771,181</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right; padding-right: 6pt"><FONT color=#231f20>9,376,629</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT color=#231f20>721,973</FONT></TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 8pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Includes cumulative appreciation/depreciation on financial
futures contracts as reported in the Schedule of Investments. Only the current day&#146;s margin variation is reported within
the Statements of Assets and Liabilities.&nbsp;&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 8pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">**&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Options purchased are included in the net realized gain
(loss) from investments and net change in unrealized appreciation/depreciation on investments.&nbsp;</FONT></TD></TR></TABLE><!-- Field: Page; Sequence: 71 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->71<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page --><A name="page_72"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 9pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 40%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%; text-align: left"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%; text-align: left"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="16" STYLE="border-top: Black 1pt solid; text-align: center"><b><font color=#231f20>The Effect of Derivative Financial Instruments in the Statements of Operations</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="16" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>Year Ended October 31, 2011</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD COLSPAN="15" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>Net Realized Gain (Loss) From</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>PSW</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>PSY</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>BPP</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>BTZ</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>BGT</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Interest rate contracts:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Financial futures contracts</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,130,213)  </font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(13,357,266</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(3,586,041) </font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(11,928,642</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Options*</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>29,340</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>125,260</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>13,467</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>75,286</font></td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Swaps</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(658,879</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(2,692,039</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,285,792</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(4,482,282</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Foreign currency exchange contracts:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Foreign currency exchange contracts</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,118</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>3,998</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(4,259,489</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit contracts:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Options*</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(40,906</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(172,975</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(84,150</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(286,344</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Swaps</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>206,110</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>875,505</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>277,052</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,075,651</font></td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>1,581</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Equity contracts:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Options*</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>147,167</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>622,653</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>302,395</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,030,167</font></td>
    <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(3,446,263)  </font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(14,594,864</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(4,363,069</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(14,516,164</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20> (4,257,908</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr>

    <TD>&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="15" STYLE="border-top: Black 1pt solid; border-bottom: #000000 1px solid; text-align: center"><b>Net Change in Unrealized Appreciation/Depreciation on</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b>PSW</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>PSY</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>BPP</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>BTZ</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><b><font color=#231f20>BGT</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Interest rate contracts:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Financial futures contracts</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>119,767</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>575,373</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>109,369</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(73,057</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Options*</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(139,502</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(593,738</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(557,748</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,960,207</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Swaps</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(449,649</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,944,096</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(673,748</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(2,116,546</font></td>
    <TD STYLE="text-align: left; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Foreign currency exchange contracts:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Foreign currency exchange contracts</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(2,106</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(9,016</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>5,237,155</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Credit contracts:</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left; text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-indent: 6pt; text-align: left"><font color=#231f20>Swaps</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(104,010</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(445,635</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(201,689</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(756,568</font></td>
    <TD STYLE="text-align: left; border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(19,172</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(575,500</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(2,417,112</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(1,323,816</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(4,906,378</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>5,217,983</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 8pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Options purchased are included in the net realized gain
(loss) from investments and net change in unrealized appreciation/depreciation on investments.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>For the year ended October 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 42%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%; text-align: right"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 10%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>PSW</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>PSY</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B>BPP</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>BTZ</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>BGT</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Financial futures contracts:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts purchased</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>48</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>128</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>84</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>277</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts sold</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>230</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>987</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>264</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>886</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value of contracts purchased</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,488,551</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>27,997,805</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>17,857,086</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>59,211,028</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value of contracts sold</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>29,416,965</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>126,250,641</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>33,116,865</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>111,058,326</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Foreign currency exchange contracts:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts &#151; US dollars purchased</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts &#151; US dollars sold</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average US dollar amounts purchased</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>128,636</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>677,250</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>78,101,399</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average US dollar amounts sold</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>34,856</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>102,772</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>724,617</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Options:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of option contracts purchased</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>14</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>59</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5,675,029</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19,325,098</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>26</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of option contracts written</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value of option contracts purchased</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,750,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,375,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,300,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>31,575,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>24,514</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value of option contracts written</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of swaption contracts purchased</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of swaption contracts written</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value of swaption contracts purchased</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>650,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,575,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>925,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,150,000</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value of swaption contracts written</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,200,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>85,550,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>49,050,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>167,500,000</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Credit default swaps:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts &#151; buy protection</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>6</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts &#151; sell protection</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value &#151; buy protection</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,836,250</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12,026,250</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>7,437,500</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>18,515,000</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value &#151; sell protection</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,928,547</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,274,333</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,531,250</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>8,700,000</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Interest rate swaps:</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts &#151; pays fixed rate</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average number of contracts &#151; received fixed rate</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; text-align: left"><FONT color=#231f20>Average notional value &#151; pays fixed rate</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>12,450,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>52,825,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>41,850,000</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>141,175,000</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-indent: 6pt; border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>Average notional value &#151; received fixed rate</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3,350,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>14,375,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>18,525,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>65,200,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD></TR></TABLE><BR>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->72<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_73"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>3. Investment Advisory Agreement and Other Transactions with Affiliates:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The PNC Financial Services Group, Inc. (&#147;PNC&#148;) and Barclays Bank PLC (&#147;Barclays&#148;) are the largest stockholders of BlackRock, Inc. (&#147;BlackRock&#148;). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the &#147;Manager&#148;), the Funds&#146; investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund&#146;s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee at the following annual rates of each Fund&#146;s average daily (weekly for BPP, BTZ and BGT) net assets (including any assets attributable to borrowings or to the proceeds from the issuance of Preferred Shares) as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 90%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid"><FONT color=#231f20>0.60</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.60</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.65</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.65</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>0.75</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Manager voluntarily agreed to waive a portion of the investment advisory fees or other expenses on BGT as a percentage of its average weekly net assets (including any assets attributable to borrowings or to the proceeds from the issuance of Preferred Shares) minus the sum of liabilities (other than borrowings representing financial leverage) as follows: 0.10% for the period September 1, 2010 to August 31, 2011 and 0.05% for the period September 1, 2011 to August 31, 2012. For the year ended October 31, 2011, the Manager waived $428,722, which is included in fees waived by advisor in the Statements of Operations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds, however, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through each Fund&#146;s investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the year ended October 31, 2011, the amounts waived were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 90%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid"><FONT color=#231f20>896</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,835</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>3,273</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>10,610</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2,454</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (&#147;BFM&#148;), an affiliate of the Manager. The Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>For the period November 1, 2010 through December 31, 2010, the Funds reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 90%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 8%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid"><FONT color=#231f20>228</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,017</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>2,822</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1,330</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>751</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Effective January 1, 2011, the Funds no longer reimburse the Manager for accounting services.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation paid to the Funds&#146; Chief Compliance Officer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>4. Investments:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Purchases and sales of investments including paydowns and payups, excluding short-term securities and US government securities for the year ended October 31, 2011, were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 4%"></TD>
     <TD STYLE="width: 11%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Purchases</FONT></B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Sales</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>80,551,829</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>53,549,617</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>325,153,755</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>205,749,646</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>173,332,985</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>105,716,939</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>575,172,504</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>339,856,385</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>423,513,718</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>422,533,406</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Purchases and sales of US government securities for the year ended October 31, 2011, were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 74%"></TD>
     <TD STYLE="width: 1%"></TD>
     <TD STYLE="width: 10%"></TD>
     <TD STYLE="width: 4%; text-align: right"></TD>
     <TD STYLE="width: 11%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B>Purchases</B></TD>
     <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><B>Sales</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,113,707</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,571,576</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16,334,169</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>106,422,862</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,044,689</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>27,801,765</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>38,685,547</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>167,596,111</FONT></TD></TR></TABLE>

<!-- Field: Page; Sequence: 73 -->
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    <!-- Field: /Page -->


<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Transactions in options written for the year ended October 31, 2011, were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="8" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Calls</B></TD>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="8" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B>Puts</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Option<BR>
     </B></FONT><B>Contracts</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Swaptions<BR>
     </B></FONT><B>Notional<BR>
     (000)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Premium<BR>
     </B></FONT><B>Received</B></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Option<BR>
     </B></FONT><B>Contracts</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Swaptions<BR>
     </B></FONT><B>Notional<BR>
     (000)</B></TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT STYLE="color: #231f20"><B>Premium<BR>
     </B></FONT><B>Received</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; width: 30%"><FONT STYLE="color: #231f20"><B>PSW</B></FONT></TD>
     <TD STYLE="text-align: left; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 2%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: right; width: 2%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 8%">&nbsp;</TD>
     <TD STYLE="text-align: left; width: 2%">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, beginning of year</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options written</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">1,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">64,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">36,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">190,800</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options expired</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options exercised</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options closed</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(35,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(126,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">1,800</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">64,800</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">1,800</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">64,800</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="18" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20"><B>PSY</B></FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, beginning of year</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options written</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">7,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">277,200</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">155,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">810,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options expired</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options exercised</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options closed</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(148,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(532,800</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">7,700</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">277,200</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">7,700</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">277,200</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="18" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20"><B>BPP</B></FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, beginning of year</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options written</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">3</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">8,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">429,271</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">3</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">80,700</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">711,814</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options expired</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options exercised</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(3</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(3,571</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(3</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(26,914</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options closed</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(72,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(259,200</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">8,700</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">425,700</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">8,700</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">425,700</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR>
<TR>
     <TD COLSPAN="18" STYLE="border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20"><B>BTZ</B></FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, beginning of year</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options written</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">30,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">1,477,177</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">13</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">275,000</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">2,460,458</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options expired</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options exercised</FONT></TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(15,327</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
    <TD>&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(13</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right"><FONT STYLE="color: #231f20">(116,608</FONT></TD>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Options closed</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(245,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="color: #231f20">(882,000</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="color: #231f20">)</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT STYLE="color: #231f20">Outstanding options, end of year</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">30,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">1,461,850</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
    <TD>&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">&#151;</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">30,000</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">$</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><FONT STYLE="color: #231f20">1,461,850</FONT></TD>
     <TD STYLE="border-bottom: Black 2pt solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>5. Income Tax Information:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Reclassifications: </B>US GAAP requires that certain components of
net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect
on net assets or net asset values per share. The following permanent differences as of October 31, 2011 attributable to foreign
currency transactions, the accounting for swap agreements, the classification of investments, income recognized from pass-through
entities, and the expiration of capital loss carryforwards were reclassified to the following accounts:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 36%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>PSW</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b>PSY</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b>BPP</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b>BTZ</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BGT</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Paid-in-capital</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(1,276,621</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>29,467</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Undistributed net investment income</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(61,913</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(246,990</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(191,381</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(548,596</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>(2,857,802</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>Accumulated net realized loss</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,338,534</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>246,990</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>191,381</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>548,596</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,828,335</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The tax character of distributions paid during the fiscal years ended October 31, 2011 and October 31, 2010 was as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 28%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">
      <p>&nbsp;</p>
    </td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b>PSW</b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>PSY</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BPP</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BTZ</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BGT</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Ordinary income</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>10/31/2011</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>6,366,890</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>27,418,570</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>12,359,949</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>44,466,841</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>25,743,686</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>10/31/2010</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,971,994</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>31,608,403</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>14,283,895</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>45,336,648</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>20,390,728</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Tax return of capital</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>10/31/2010</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>909,831</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,350,650</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>1,431,653</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>14,927,112</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Total distributions</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>10/31/2011</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>6,366,890</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>27,418,570</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>12,359,949</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>44,466,841</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>25,743,686</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>10/31/2010</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>7,881,825</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>36,959,053</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>15,715,548</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>60,263,760</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>20,390,728</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
  </tr>
</table><BR>
<!-- Field: Page; Sequence: 74; Options: NewSection; Value: 74 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->74<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<A name="page_75"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Notes to Financial Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>As of October 31, 2011, the tax components of accumulated net losses were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 36%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 8%"></td>
    <TD STYLE="width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>PSW</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>PSY</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BPP</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BTZ</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BGT</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Undistributed ordinary income</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>674,094</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>2,062,942</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>600,196</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>260,420</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>5,663,378</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Capital loss carryforwards</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(133,183,040</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(496,772,908</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(203,308,710</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(412,613,268</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>(90,203,968</font></td>
    <TD STYLE="text-align: left"><font color=#231f20>)</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>Net unrealized gains (losses)*</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>5,560,423</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>16,638,416</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>3,429,010</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>11,605,960</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>(14,250,523</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(126,948,523</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(478,071,550</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(199,279,504</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(400,746,888</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>(98,791,113</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: left"><font color=#231f20>)</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="margin-top: 0; margin-bottom: 6pt; font: 8pt Arial, Helvetica, Sans-Serif"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20">*&nbsp;</FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The difference between book-basis and tax-basis net unrealized
gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes
of unrealized gains/losses on certain futures and foreign currency exchange contracts, the accrual of income on securities in
default, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing
and recognition of partnership income, the accounting for swap agreements, the deferral of compensation to Directors, the classification
of investments, and investments in wholly owned subsidiaries.&nbsp;</FONT></TD></TR></TABLE>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>As of October 31, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 36%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 8%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 8%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 8%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 8%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
    <TD STYLE="text-align: center; width: 8%"></td>
    <TD STYLE="text-align: center; width: 2%"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid"><b><font color=#231f20>Expires October 31,</font></b></td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>PSW</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>PSY</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BPP</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BTZ</font></b></td>
    <TD COLSPAN="3" STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>BGT</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2012</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>10,243,141</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>62,733,648</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2013</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>5,058,900</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>17,911,331</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2014</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>8,481,628</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>12,145,117</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2015</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>6,724,694</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>19,582,978</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>18,184,893</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>49,741,712</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>3,268,804</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2016</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>40,232,230</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>140,413,242</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>58,197,929</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>113,355,213</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>24,616,531</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2017</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>55,825,534</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>194,970,854</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>108,996,120</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>223,939,227</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>45,385,443</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2018</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>4,498,024</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>37,285,625</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>15,245,888</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>15,223,841</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right">&nbsp;</td>
    <TD STYLE="text-align: right"><font color=#231f20>16,526,601</font></td>
    <TD STYLE="text-align: right">&nbsp;</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>2019</font></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,118,889</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>11,730,113</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>2,683,880</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>10,353,275</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>406,589</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</td>
  </tr>


  <tr valign=bottom>

    <TD STYLE="text-align: left; padding-bottom: 2pt"><b><font color=#231f20>Total</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>133,183,040</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>496,772,908</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>203,308,710</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>412,613,268</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>$</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right"><font color=#231f20>90,203,968</font></td>
    <TD STYLE="border-bottom: Black 2pt solid; text-align: right">&nbsp;</td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Fund after October 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>6. Borrowings:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BGT entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the &#147;SSB Agreement&#148;) with State Street Bank and Trust Company (&#147;SSB&#148;). The SSB Agreement provides the Fund with a maximum commitment of $172.2 million. The Fund has granted a security interest in substantially all of its assets to SSB.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Advances are made by SSB to the Fund, at the Fund&#146;s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. In addition, the Fund pays a facility fee and a commitment fee based upon SSB&#146;s total commitment to the Fund. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Fund as of October 31, 2011 are shown in the Statements of Assets and Liabilities as loan payable. The SSB Agreement was renewed for 364 days under substantially the same terms effective March 3, 2011. The commitment amount was increased from $134 million to $172.2 million. For the year ended October 31, 2011, the daily weighted average interest rate was 1.03%.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BGT may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>For the year ended October 31, 2011, the daily weighted average interest rates for Funds with reverse repurchase agreements were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 90%"></TD>
     <TD STYLE="width: 8%"></TD>
     <TD STYLE="width: 2%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: right; border-top: Black 1pt solid"><FONT color=#231f20>0.37</FONT></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.36</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0.36</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>0.40</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>7. Commitments:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds may invest in floating rate loan interests. In connection with these investments, the Fund may also enter into unfunded floating rate loan interests (&#147;commitments&#148;). In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statement of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statement of Assets and Liabilities and Statement of Operations. As of October 31, 2011, the Funds had the no unfunded floating rate loan interests.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>8. Concentration, Market and Credit Risk:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>As of October 31, 2011, PSW, PSY, BPP and BTZ invested a significant portion of their assets in securities in the financials sector whereas BGT invested a significant portion of its assets in the media sector. Changes in economic conditions affecting the financials and media sectors would have a greater impact on the Funds and could affect the value, income and/or liquidity of positions in such securities.</FONT></P><P style="TEXT-ALIGN: left"></P>

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<A name="page_76"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: #394c87">Notes to Financial
Statements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds&#146; exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Funds&#146; Statements of Assets and Liabilities, less any collateral held by the Funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>9. Capital Share Transactions:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>PSW and PSY are each authorized to issue 200 million of $0.10 par value shares, all of which were initially classified as Common Shares. Each Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders. The Boards of PSW and PSY reclassified 5,460 and 22,000 unissued Common Shares as $0.10 par value Preferred Shares, respectively, none of which are outstanding. There are an unlimited number of $0.001 par value shares authorized for BPP, BTZ and BGT, which may be issued as either Common Shares or Preferred Shares.</FONT></P>



<P STYLE="text-align: left"><FONT STYLE="color: #231f20"><B>Common Shares</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>For the year ended October 31, 2011, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 60%"></TD>
     <TD STYLE="width: 20%"></TD>
     <TD STYLE="width: 20%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Year Ended</FONT></B><BR>
<B>October 31,</B><BR>
<B>2011</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Year Ended</FONT></B><BR>
<B>October 31,</B><BR>
<B>2010</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>39,329</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT color=#231f20>32,177</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Shares issued and outstanding for the years ended October 31, 2011 and October 31, 2010 remained constant for PSW, PSY, BPP and BTZ, respectively.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Preferred Shares</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>During the year ended October 31, 2011, the Funds announced the following redemptions of Preferred Shares at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 40%"></TD>
     <TD STYLE="width: 12%; padding-right: 20pt"></TD>
     <TD STYLE="width: 16%; padding-right: 20pt"></TD>
     <TD STYLE="width: 15%; padding-right: 20pt"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 15%; text-align: right"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Series</FONT></B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Redemption</FONT></B><BR>
<B>Date</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Shares</FONT></B><BR>
<B>Redeemed</B></TD>
     <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Aggregate</FONT></B><BR>
<B>Principal</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>M7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>12/07/10</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>805</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,125,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>T7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>12/08/10</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>805</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>20,125,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>M7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/04/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>861</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>21,525,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>T7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/05/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>861</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>21,525,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>W7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/06/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>861</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>21,525,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>R7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/07/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>861</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>21,525,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>F7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/10/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>861</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>21,525,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>W28</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/13/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1,228</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>30,700,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>R28</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/28/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1,228</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>30,700,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>T7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>12/08/10</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>939</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,475,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>W7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>12/09/10</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>939</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,475,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>R7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>12/10/10</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>939</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>23,475,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>T7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/05/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>2,310</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>57,750,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>W7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/06/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>2,310</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>57,750,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>R7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/07/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>2,310</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>57,750,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>F7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>1/10/11</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>2,310</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>57,750,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>T7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>12/08/10</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>784</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19,600,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>W7</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>12/09/10</FONT></TD>
     <TD STYLE="text-align: right; padding-right: 20pt"><FONT color=#231f20>784</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>19,600,000</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20pt"><FONT color=#231f20>R7</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20pt"><FONT color=#231f20>12/10/10</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20pt"><FONT color=#231f20>784</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>$</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>19,600,000</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>All of the Funds, except BGT, financed the Preferred Share redemptions with cash received from reverse repurchase agreements. BGT financed the Preferred Share redemption with cash received from a line of credit.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Preferred Shares were redeemable at the option of each Fund, in whole or in part, on any dividend payment date at their liquidation preference per share plus any accumulated and unpaid dividends whether or not declared. The Preferred Shares were also subject to mandatory redemption at their liquidation preference plus any accumulated and unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of a Fund, as set forth in each Fund&#146;s Articles of Supplementary (the &#147;Governing Instrument&#148;) are not satisfied.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The holders of Preferred Shares had voting rights equal to the holders of Common Shares (one vote per share) and would vote together with holders of Common Shares (one vote per share) as a single class. However, the holders of Preferred Shares, voting as a separate class, were also entitled to elect two Directors for each Fund. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Fund&#146;s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.</FONT></P>
<!-- Field: Page; Sequence: 76 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->76<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_77"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT STYLE="color: #394c87">Notes to Financial
Statements (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Dividends on seven-day and 28-day Preferred Shares were cumulative at a rate which is reset every seven or 28 days, respectively, based on the results of an auction. If the Preferred Shares failed to clear the auction on an auction date, each Fund was required to pay the maximum applicable rate on the Preferred Shares to holders of such shares for successive dividend periods until such time as the shares were successfully auctioned. The maximum applicable rate on the Preferred Shares at the last auction date was as follows: for PSW, PSY and BGT, the higher of 125% times or 1.25% plus the Telerate/BBA LIBOR rate; for BPP 150% of the interest equivalent of the 30-day commercial paper rate and for BTZ, the higher of 150% times or 1.25% plus the Telerate/BBA LIBOR rate. The low, high and average dividend rates for the year ended October 31, 2011, were as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">

  <tr>

    <TD></td>
    <TD STYLE="width: 13%; padding-right: 20pt"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
    <TD STYLE="width: 15%; text-align: center"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1pt solid">&nbsp;</td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Series</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Low</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>High</font></b></td>
    <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1pt solid"><b><font color=#231f20>Average</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>PSW</font></td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>M7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>T7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>PSY</font></td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>M7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>T7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>W7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>TH7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>F7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>W28</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>TH28</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.52%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BPP</font></td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>T7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.30%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.32%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.31%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>W7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.32%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.33%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.32%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>R7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.30%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.38%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>0.33%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BTZ</font></td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>T7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>W7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>R7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>F7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.51%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BGT</font></td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>T7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: right; padding-right: 20pt"><font color=#231f20>W7</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 20pt"><font color=#231f20>R7</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>1.50%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>1.50%</font></td>
  </tr>
</table><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Since February 13, 2008, the Preferred Shares of the Funds failed to clear any of their auctions. As a result, the Preferred Shares dividend rates were reset to the maximum applicable rate, which ranged from 0.35% to 1.94% for the year ended October 31, 2011. A failed auction is not an event of default for the Funds but it has a negative impact on the liquidity of Preferred Shares. A failed auction occurs when there are more sellers of a Fund&#146;s auction rate preferred shares than buyers. A successful auction for the Funds&#146; Preferred Shares may not occur for some time, if ever, and even if liquidity does resume, holders of Preferred Shares may not have the ability to sell the Preferred Shares at their liquidation preference.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds paid commissions of 0.15% on the aggregate principal amount of all shares that failed to clear their auctions and 0.25% on the aggregate principal amount of all shares that successfully clear their auctions. Certain broker dealers had individually agreed to reduce commissions for failed auctions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>10. Subsequent Events:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Management&#146;s evaluation of the impact of all subsequent events on the Funds&#146; financial statements was completed through the date the financial statements were issued and the following items were noted:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds paid a net investment income dividend in the following amounts per share on November 30, 2011 to Common Shareholders on record on November 15, 2011:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 80%"></TD>
     <TD STYLE="width: 20%; text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Common</FONT></B><BR>
<B>Dividend</B><BR>
<B>Per Share</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0595</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0610</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0615</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0765</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">$<FONT color=#231f20>0.0775</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds paid a net investment income dividend in the following amounts per share on December 19, 2011 to Common Shareholders on record on December 14, 2011:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 10pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 80%"></TD>
     <TD STYLE="text-align: center; width: 20%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left; border-top: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Common</FONT></B><BR>
<B>Dividend</B><BR>
<B>Per Share</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0595</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0610</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0635</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: center">$<FONT color=#231f20>0.0785</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: center">$<FONT color=#231f20>0.0775</FONT></TD></TR></TABLE><!-- Field: Page; Sequence: 77; Value: 75 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->77<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page --><BR><A name="page_78"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_012"></A><FONT color=#394c87>Report of Independent Registered Public Accounting Firm</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>To the Shareholders and Board of Directors of BlackRock Credit Allocation
Income Trust I, Inc. and BlackRock Credit Allocation Income Trust II, Inc. and to the Shareholders and Board of Trustees of BlackRock
Credit Allocation Income Trust III, BlackRock Credit Allocation Income Trust IV and BlackRock Floating Rate Income Trust:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>We have audited the accompanying statements of assets and liabilities of BlackRock Credit Allocation Income Trust I, Inc., BlackRock Credit Allocation Income Trust II, Inc., BlackRock Credit Allocation Income Trust III, BlackRock Credit Allocation Income Trust IV and BlackRock Floating Rate Income Trust (collectively, the &#147;Funds&#148;), including the schedules of investments, as of October 31, 2011, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds&#146; management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds&#146; internal control over financial reporting.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011, by correspondence with the custodians, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock Credit Allocation Income Trust I, Inc., BlackRock Credit Allocation Income Trust II, Inc., BlackRock Credit Allocation Income Trust III, BlackRock Credit Allocation Income Trust IV and BlackRock Floating Rate Income Trust as of October 31, 2011, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Deloitte &amp; Touche LLP</FONT><BR>
<FONT color=#231f20>Boston, Massachusetts</FONT><BR>
<FONT color=#231f20>December 23, 2011</FONT></P>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_013"></A><FONT color=#394c87>Important Tax Information (Unaudited)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The following information is provided with respect to the ordinary income distributions paid by the Funds for the taxable year ended October 31, 2011.</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>PSW</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>PSY</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>BPP</FONT></B></TD>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>BTZ</FONT></B></TD>
     <TD style="TEXT-INDENT: 6pt; BORDER-BOTTOM: #000000 1px solid" align=center colSpan=2><B><FONT color=#231f20>BGT</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD align=left colSpan=2><B><FONT color=#231f20>Qualified Dividend Income for Individuals</FONT></B><B><SUP><FONT color=#231f20>1</FONT></SUP></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Months Paid:</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>November 2010 &#150; January 2011</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.90</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.28</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>5.67</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>1.12</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>February &#150; October 2011</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>3.41</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>2.22</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8.59</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>8.74</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD ALIGN="LEFT" COLSPAN="12"><B><FONT STYLE="color: #231f20">Interest-Related Dividends and Qualified Short-Term Capital Gains</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 6pt" align=left colSpan=2><B><FONT color=#231f20>for Non-US Residents</FONT></B><B><SUP><FONT color=#231f20>2</FONT></SUP></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Months Paid:</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>November 2010 &#150; January 2011</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>64.61</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>69.06</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>67.41</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>65.27</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>61.97</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>February &#150; October 2011</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>94.69</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>97.12</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>94.35</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>92.56</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>62.43</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD></TR>
<TR vAlign=bottom>
     <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><B><FONT color=#231f20>Federal Obligation Interest</FONT></B><B><SUP><FONT color=#231f20>3</FONT></SUP></B></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>0.54</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1.36</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>0.79</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>1.47</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT color=#231f20>%</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT color=#231f20>&#151;</FONT></TD>
     <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR></TABLE><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The Funds hereby designate the percentage indicated or
the maximum amount allowable by law.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">Represents the portion of the taxable ordinary income
dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="color: #231f20">The law varies in each state as to whether and what percentage
of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax
advisor to determine if any portion of the dividends you received is exempt from state income taxes.&nbsp;</FONT></TD></TR></TABLE>
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_014"></A><FONT color=#394c87>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Board of Directors and the Board of Trustees, as the case may be (each, a &#147;Board,&#148; collectively, the &#147;Boards,&#148; and the members of which are referred to as &#147;Board Members&#148;) of BlackRock Credit Allocation Income Trust I, Inc. (&#147;PSW&#148;), BlackRock Credit Allocation Income Trust II, Inc. (&#147;PSY&#148;), BlackRock Credit Allocation Income Trust III (&#147;BPP&#148;), BlackRock Credit Allocation Income Trust IV (&#147;BTZ&#148;) and BlackRock Floating Rate Income Trust (&#147;BGT,&#148; and together with PSW, PSY, BPP and BTZ, each a &#147;Fund&#148; and, collectively, the &#147;Funds&#148;) met on April 14, 2011 and May 12&#150;13, 2011 to consider the approval of each Fund&#146;s investment advisory agreement (each, an &#147;Advisory Agreement&#148;) with BlackRock Advisors, LLC (the &#147;Manager&#148;), each Fund&#146;s investment advisor. The Board of each Fund also considered the approval of the sub-advisory agreement (each, a &#147;Sub-Advisory Agreement&#148;) between the Manager and BlackRock Financial Management, Inc. (the &#147;Sub-Advisor&#148;), with respect to each Fund. The Manager and the Sub-Advisor are referred to herein as &#147;BlackRock.&#148; The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the &#147;Agreements.&#148;</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Activities and Composition of the Board</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Each Board consists of eleven individuals, nine of whom are not &#147;interested persons&#148; of such Fund as defined in the Investment Company Act of 1940 (the &#147;1940 Act&#148;) (the &#147;Independent Board Members&#148;). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member) and is chaired by an Independent Board Member. The Board of each Fund had established a Committee on Auction Market Preferred Shares prior to the redemption of all of its respective Fund's outstanding auction market preferred shares. Further, the Boards, together with the Boards of other BlackRock-managed funds, also had established an ad hoc committee, the Joint Product Pricing Committee, which consisted of Independent Board Members and the directors/trustees of the boards of certain other BlackRock-managed funds, who were not "interested persons" of their respective funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>The Agreements</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance program and assistance in meeting applicable legal and regulatory requirements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20">The Boards, acting directly and through their respective
committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to their
annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds
and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-, three- and
five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management&#146;s
and portfolio managers&#146; analyses of the reasons for any over performance or underperformance against their peers and/or
benchmark, as applicable; (b) fees, including advisory and other amounts paid to BlackRock and its affiliates by the Funds
for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the
Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds&#146;
investment objectives, policies and restrictions; (e) the Funds&#146; compliance with their Code of Ethics and other
compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by
BlackRock and its affiliates; (g) BlackRock&#146;s and other service providers&#146; internal controls and risk and
compliance oversight mechanisms; (h) BlackRock&#146;s implementation of the proxy voting policies approved by the Boards; (i)
execution quality of portfolio transactions; (j) BlackRock&#146;s implementation of the Funds&#146; valuation and liquidity
procedures; (k) analyses of contractual and actual management fee ratios for products with similar investment objectives
across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l)
BlackRock&#146;s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic
updates on BlackRock&#146;s business.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Board Considerations in Approving the Agreements</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>The Approval Process:</B> Prior to the April 14, 2011 meeting, the
Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with BlackRock
to review periodically the nature and scope of the information provided to better assist their deliberations. The materials provided
in connection with the April meeting included (a) information independently compiled and prepared by Lipper, Inc. (&#147;Lipper&#148;)
on Fund fees and expenses and the investment performance of the Funds as compared with a peer group of funds as determined by
Lipper and a customized peer group selected by BlackRock (collectively, &#147;Peers&#148;); (b) information on the profitability
of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders;
(c) general analyses provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration
fee, if any) charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as
applicable; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by each Fund to BlackRock and (f) if
applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>At an in-person meeting held on April 14, 2011, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 14, 2011 meeting, and as a culmination of the Boards&#146; year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May 12&#150;13, 2011 Board meeting.</FONT></P><!-- Field: Page; Sequence: 79; Value: 75 -->
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>At an in-person meeting held on May 12&#150;13, 2011, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to its Fund, each for a one-year term ending June 30, 2012. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) economies of scale; (e) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (f) other factors deemed relevant by the Board Members.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Boards also considered other matters they deemed important to the approval process, such as services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards&#146; review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>A. Nature, Extent and Quality of the Services Provided by BlackRock:
</B>The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock,
including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared
Fund performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark,
if any. The Boards met with BlackRock&#146;s senior management personnel responsible for investment operations, including the
senior investment officers. Each Board also reviewed the materials provided by its Fund&#146;s portfolio management team discussing
Fund performance and the Fund&#146;s investment objective, strategies and outlook.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Boards considered, among other factors, the number, education and experience of BlackRock&#146;s investment personnel generally and their Funds&#146; portfolio management teams, investments by portfolio managers in the funds they manage, BlackRock&#146;s portfolio trading capabilities, BlackRock&#146;s use of technology, BlackRock&#146;s commitment to compliance, BlackRock&#146;s credit analysis capabilities, BlackRock&#146;s risk analysis capabilities and BlackRock&#146;s approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock&#146;s compensation structure with respect to their Funds&#146; portfolio management teams and BlackRock&#146;s ability to attract and retain high-quality talent and create performance incentives.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In addition to investment advisory services, BlackRock and its affiliates provide the Funds with other services, including (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock&#146;s fund administration, accounting, legal and compliance departments and considered BlackRock&#146;s policies and procedures for assuring compliance with applicable laws and regulations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>B. The Investment Performance of the Funds and BlackRock:</B> The
Boards, including the Independent Board Members, also reviewed and considered the performance history of their Funds. In preparation
for the April 14, 2011 meeting, the Boards worked with BlackRock and Lipper to develop a template for, and was provided with reports
independently prepared by Lipper, which included a comprehensive analysis of each Fund&#146;s performance. The Boards also reviewed
a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect
Lipper&#146;s rankings. In connection with its review, each Board received and reviewed information regarding the investment performance,
based on net asset value (NAV), of its Fund as compared to funds in that Fund&#146;s applicable Lipper category and a customized
peer group selected by BlackRock. The Boards were provided with a description of the methodology used by Lipper to select peer
funds. The Boards and each Board&#146;s Performance Oversight Committee regularly review, and meet with Fund management to discuss,
the performance of the Funds throughout the year.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Board of each of PSW, PSY and BPP noted that its respective Fund performed below the median of its Customized Lipper Peer Group in the three- and five-year periods reported, but that the Fund performed at or above the median of its Customized Lipper Peer Group in the one-year period reported. The Board of each of PSW, PSY and BPP and BlackRock reviewed and discussed the reasons for its respective Fund&#146;s underperformance during the three- and five-year periods compared with its Peers. The Board was informed that, among other things, weak 2008 performance continues to weigh on the three- and five-year periods.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Board of BTZ noted that BTZ performed below the median of its Customized Lipper Peer Group in the three-year and since-inception periods reported, but that BTZ performed at or above the median of its Customized Lipper Peer Group in the one-year period reported. The Board of BTZ and BlackRock reviewed and discussed the reasons for BTZ&#146;s underperformance during the three-year and since-inception periods compared with its Peers. The Board was informed that, among other things, weak 2008 performance continues to weigh on the three-year and since-inception periods.</FONT></P>
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Board of each of PSW, PSY, BPP and BTZ and BlackRock discussed BlackRock&#146;s strategy for improving its respective Fund&#146;s performance and BlackRock&#146;s commitment to providing the resources necessary to assist the Fund&#146;s portfolio managers and to improve the Fund&#146;s performance.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Board of BGT noted that, in general, BGT performed better than its Peers in that BGT&#146;s performance was at or above the median of its Customized Lipper Peer Group in two of the one-, three- and five-year periods reported.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Boards noted that BlackRock has made changes to the organization of the overall fixed income group management structure designed to result in a strengthened leadership team.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>C. Consideration of the Advisory/Management Fees and the Cost of the
Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds:</B> Each Board, including
the Independent Board Members, reviewed its Fund&#146;s contractual management fee ratio compared with the other funds in its
Lipper category. It also compared the Fund&#146;s total expense ratio, as well as actual management fee ratio, to those of other
funds in its Lipper category. Each Board considered the services provided and the fees charged by BlackRock to other types of
clients with similar investment mandates, including separately managed institutional accounts.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Boards received and reviewed statements relating to BlackRock&#146;s financial condition and profitability with respect to the services it provided the Funds. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock&#146;s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2010 compared to available aggregate profitability data provided for the years ended December 31, 2009, and December 31, 2008. The Boards reviewed BlackRock&#146;s profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock&#146;s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards considered BlackRock&#146;s overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. That data indicates that operating margins for BlackRock, in general and with respect to its registered funds, are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Boards considered, among other things, certain third party data comparing BlackRock&#146;s operating margin with that of other publicly-traded asset management firms. That third party data indicates that larger asset bases do not, in themselves, translate to higher profit margins.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock&#146;s and its affiliates&#146; profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock&#146;s methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Board of each Fund noted that its respective Fund&#146;s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by the Fund&#146;s Peers, in each case before taking into account any expense reimbursements or fee waivers.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>D. Economies of Scale:</B> Each Board, including the Independent Board
Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also
considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate
or structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints
in the advisory fee based upon the asset level of the Fund. Based on the ad hoc Joint Product Pricing Committee&#146;s and each
Board&#146;s review and consideration of this issue, each Board concluded that closed-end funds are typically priced at scale
at a fund&#146;s inception; therefore, the implementation of breakpoints was not necessary.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Boards noted that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. The Boards noted that only one closed-end fund in the Fund Complex has breakpoints in its advisory fee structure.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>E. Other Factors Deemed Relevant by the Board Members:</B> The Boards,
including the Independent Board Members, also took into account other ancillary or &#147;fall-out&#148; benefits that BlackRock
or its affiliates and significant shareholders may derive from their respective relationships with the Funds, both tangible and
intangible, such as BlackRock&#146;s ability to leverage its investment professionals who manage other portfolios and risk management
personnel, an increase in BlackRock&#146;s profile in the investment advisory community, and the engagement of BlackRock&#146;s
affiliates as service providers to the Funds, including securities lending services. The Boards also considered BlackRock&#146;s
overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that
BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions
to assist in managing all or a number of its other client accounts. The Boards further noted that BlackRock&#146;s funds may invest
in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.</FONT></P>

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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock&#146;s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Boards noted the competitive nature of the closed-end fund marketplace and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund&#146;s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Conclusion</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2012 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Fund, for a one-year term ending June 30, 2012. As part of its approval, each Board considered the detailed review of BlackRock&#146;s fee structure, as it applies to its Fund, conducted by the ad hoc Joint Product Pricing Committee. Based upon its evaluation of all of the aforementioned factors in their totality, each Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of its Fund and its shareholders. In arriving at its decision to approve the Agreements, no Board identified any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making these determinations. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members&#146; conclusions may be based in part on their consideration of these arrangements in prior years.</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->82<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_015"></A><FONT color=#394c87>Automatic Dividend Reinvestment Plans</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Pursuant to each Fund&#146;s Dividend Reinvestment Plan (the &#147;Reinvestment Plan&#148;), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the &#147;Reinvestment Plan Agent&#148;) in the respective Fund&#146;s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>After the Funds declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants&#146; accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Fund (&#147;newly issued shares&#148;) or (ii) by purchase of outstanding shares on the open market or on the Fund&#146;s primary exchange (&#147;open-market purchases&#148;). If, on the dividend payment date, the net asset value per share (&#147;NAV&#148;) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a &#147;market premium&#148;), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant&#146;s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a &#147;market discount&#148;), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Reinvestment Plan Agent&#146;s fees for the handling of the reinvestment of dividends and distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent&#146;s open-market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares through Computershare Trust Company, N.A. are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to the Reinvestment Plan Agent: Computershare Trust Company, N.A., P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1BFM or overnight correspondence should be directed to the Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021.</FONT></P>

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<P STYLE="text-align: left"></P><A name="page_84"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_016"></A><FONT color=#394c87>Officers and Directors</FONT></P>
<TABLE CELLSPACING="0" BORDER="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">


  <tr valign=bottom>

    <TD STYLE="text-align: left"><b><font color=#231f20>Name, Address</font></b><br>

<b>and Year of Birth</b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><b><font color=#231f20>Position(s)</font></b><br>

<b>Held with</b><br>

<b>Funds</b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><b><font color=#231f20>Length</font></b><br>

<b>of Time</b><br>

<b>Served as</b><br>

<b>a Director</b><b><sup>2</sup></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><b><font color=#231f20>Principal Occupation(s) During Past Five Years</font></b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><b><font color=#231f20>Number of BlackRock-</font></b><br>

<b>Advised Registered</b><br>

<b>Investment Companies</b><br>

<b>(&#147;RICs&#148;) Consisting of</b><br>

<b>Investment Portfolios</b><br>

<b>(&#147;Portfolios&#148;) Overseen</b></td>
    <TD STYLE="text-align: left">&nbsp;</td>
    <TD STYLE="text-align: left"><b><font color=#231f20>Public</font></b><br>

<b>Directorships</b></td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="11" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Independent Directors</font></b><b><sup><font style="color: #394c87">1</font></sup></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Richard E. Cavanagh</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1946</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Chairman</font><br>

of the Board<br>

and Director</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><FONT STYLE="color: #231f20">Trustee, Aircraft
    Finance Trust from 1999 to 2009; Director, The</FONT> Guardian Life Insurance Company of America since 1998; Trustee, Educational
    Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 <FONT STYLE="color: #231f20">and
    Director thereof since 1996; Adjunct Lecturer, Harvard University </FONT>since 2007; President and Chief Executive Officer,
    The Conference <FONT STYLE="color: #231f20">Board, Inc. (global business research organization) from 1995 to 2007.</FONT></td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICS consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Arch Chemical</font><br>

(chemical and allied<br>

products)</td>
  </tr>

  <tr valign=bottom></tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Karen P. Robards</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1950</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Vice Chairperson</font><br>

of the Board,<br>

Chairperson<br>

of the Audit<br>

Committee<br>

and Director</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Partner of Robards &amp; Company, LLC (financial advisory firm) since</font>

1987; Co-founder and Director of the Cooke Center for Learning and

Development (a not-for-profit organization) since 1987; Director of

Care Investment Trust, Inc. (health care real estate investment trust)

from 2007 to 2010; Director of Enable Medical Corp. from 1996

to 2005; Investment Banker at Morgan Stanley from 1976 to 1987.</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>AtriCure, Inc.</font><br>

(medical devices)</td>
  </tr>

  <tr valign=bottom></tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Michael J. Castellano</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1946</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font><br>

and Member<br>

of the Audit<br>

Committee</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2011</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Managing Director and Chief Financial Officer of Lazard Group LLC</font>

from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004

to 2011; Director, Support Our Aging Religions (non-profit) since

2009; Director, National Advisory Board of Church Management

at Villanova University since 2010.</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>None</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Frank J. Fabozzi</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1948</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font><br>

and Member<br>

of the Audit<br>

Committee</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><FONT STYLE="color: #231f20">Editor
    of and Consultant for The Journal of Portfolio Management since</FONT> 1986; Professor of Finance, EDHEC Business School since
    2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct
    Professor of <FONT STYLE="color: #231f20">Finance and Becton Fellow, Yale University from 1994 to 2006.</FONT></td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>None</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Kathleen F. Feldstein</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1941</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font></td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>President of Economics Studies, Inc. (private economic consulting</font>

firm) since 1987; Chair, Board of Trustees, McLean Hospital from

2000 to 2008 and Trustee Emeritus thereof since 2008; Member of

the Board of Partners Community Healthcare, Inc. from 2005 to 2009;

Member of the Corporation of Partners HealthCare since 1995;

Trustee, Museum of Fine Arts, Boston since 1992; Member of the

Visiting Committee to the Harvard University Art Museum since 2003;

Director, Catholic Charities of Boston since 2009.</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>The McClatchy</font><br>

Company (publishing)<br>

Bellsouth<br>

(telecommunications)<br>

Knight Ridder<br>

(publishing)</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>James T. Flynn</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1939</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font><br>

and Member<br>

of the Audit<br>

Committee</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Chief Financial Officer of JP Morgan &amp; Co., Inc. from 1990 to 1995.</font></td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>None</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; width: 19%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Jerrold B. Harris</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1942</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 12%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font></td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 13%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 28%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Trustee, Ursinus College since 2000; Director, Troemner LLC</font>

(scientific equipment) since 2000; Director of Delta Waterfowl

Foundation since 2001; President and Chief Executive Officer, VWR

Scientific Products Corporation from 1990 to 1999.</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 18%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 5%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>BlackRock Kelso</font><br>

Capital Corp. (business<br>

development company)</td>
  </tr>
</table><BR>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->84<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<P>
<A name="page_85"></A></P>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Officers and Directors (continued)</FONT></P>
<TABLE CELLSPACING="0" BORDER="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">

  <tr valign=bottom>

    <TD STYLE="text-align: left; width: 19%"><b><font color=#231f20>Name, Address</font></b><br>

<b>and Year of Birth</b></td>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 12%"><b><font color=#231f20>Position(s)</font></b><br>

<b>Held with</b><br>

<b>Funds</b></td>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 13%"><b><font color=#231f20>Length</font></b><br>

<b>of Time</b><br>

<b>Served as</b><br>

<b>a Director</b><b><sup>2</sup></b></td>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 28%"><b><font color=#231f20>Principal Occupation(s) During Past Five Years</font></b></td>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 18%"><b><font color=#231f20>Number of BlackRock-</font></b><br>

<b>Advised Registered</b><br>

<b>Investment Companies</b><br>

<b>(&#147;RICs&#148;) Consisting of</b><br>

<b>Investment Portfolios</b><br>

<b>(&#147;Portfolios&#148;) Overseen</b></td>
    <TD STYLE="text-align: left; width: 1%">&nbsp;</td>
    <TD STYLE="text-align: left; width: 5%"><b><font color=#231f20>Public</font></b><br>

<b>Directorships</b></td>
  </tr>

  <tr valign=bottom>

    <td colspan="11" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Independent Directors</font></b><b><sup><font style="color: #394c87">1 </font></sup></b><b><font style="color: #394c87">(concluded)</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>R. Glenn Hubbard</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1958</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font></td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Dean, Columbia Business School since 2004; Columbia faculty</font>

member since 1988; Co-Director, Columbia Business School&#146;s

Entrepreneurship Program from 1997 to 2004; Chairman, U.S.

Council of Economic Advisers under the President of the United

States from 2001 to 2003; Chairman, Economic Policy Committee

of the OECD from 2001 to 2003.</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>ADP (data and</font><br>

information services)<br>

KKR Financial<br>

Corporation (finance)<br>

Metropolitan Life<br>

Insurance Company<br>

(insurance)</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>W. Carl Kester</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1951</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font><br>

and Member<br>

of the Audit<br>

Committee</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>George Fisher Baker Jr. Professor of Business Administration, Harvard</font>

Business School; Deputy Dean for Academic Affairs from 2006 to

2010; Chairman of the Finance Department, Harvard Business School,

from 2005 to 2006; Senior Associate Dean and Chairman of the MBA

Program of Harvard Business School from 1999 to 2005; Member of

the faculty of Harvard Business School since 1981.</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>97 RICs consisting of</font><br>

97 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>None</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
    <TD STYLE="width: 20%">&nbsp;</TD>
<TD STYLE="width: 1%; text-align: left; vertical-align: top; border-top: Black 1pt solid"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 1%; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-top: Black 1pt solid"><FONT STYLE="color: #231f20">Directors serve until their resignation, removal or death,
or until December 31 of the year in which they turn 72. In 2011, the Board of Directors unanimously approved extending the mandatory
retirement age for James T. Flynn by one additional year, which the Board believes would be in the best interest of shareholders.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
    <TD STYLE="width: 20%">&nbsp;</TD>
<TD STYLE="width: 1%; text-align: right"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 1%">&nbsp;</TD><TD><FONT STYLE="color: #231f20">Date shown is the earliest date a person has served for
the Funds covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (&#147;MLIM&#148;)
and BlackRock, Inc. (&#147;BlackRock&#148;) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned
and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Funds&#146;
board in 2007, each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: Richard
E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn
Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.&nbsp;</FONT></TD></TR></TABLE>
<table cellspacing="0" border="0" style="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">

  <tr valign=bottom>

    <td colspan="12" style="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><b><font style="color: #394c87">Interested Directors</font></b><b><sup><font style="color: #394c87">3</font></sup></b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; width: 15%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Paul L. Audet</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1953</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 10%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font></td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 15%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2011</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 30%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Senior Managing Director, BlackRock and Head of BlackRock&#146;s Real Estate</font>

business from 2008 to 2011; Member of BlackRock&#146;s Global Operating

and Corporate Risk Management Committees and the BlackRock Alternative

Investors Executive Committee and Investment Committee for the Private

Equity Fund of Funds business since 2008; Head of BlackRock&#146;s Global

Cash Management business from 2005 to 2010; Acting Chief Financial

Officer of BlackRock from 2007 to 2008; Chief Financial Officer of

BlackRock from 1998 to 2005.</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 20%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>159 RICs</font><br>

consisting of<br>

286 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 1%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; width: 5%; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>None</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Henry Gabbay</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1947</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Director</font></td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Consultant, BlackRock, from 2007 to 2008; Managing Director, BlackRock,</font>

from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC

from 1998 to 2007; President of BlackRock Funds and BlackRock Bond

Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end

funds in the BlackRock fund complex from 1989 to 2006.</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>159 RICs</font><br>

consisting of<br>

286 Portfolios</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>None</font></td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
    <TD STYLE="width: 16%">&nbsp;</TD>
<TD STYLE="width: 1%; text-align: left; border-top: Black 1pt solid; vertical-align: top"><FONT STYLE="color: #231f20"><SUP>3&nbsp;</SUP></FONT></TD><TD STYLE="width: 1%; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-top: Black 1pt solid; width: 82%"><FONT STYLE="color: #231f20">Mr. Audet is an &#147;interested person,&#148; as defined
in the 1940 Act, of the Funds based on his position with BlackRock and its affiliates. Mr. Gabbay is an &#147;interested person&#148;
of the Funds based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC
Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of the BlackRock registered open-end funds.
Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.&nbsp;</FONT></TD></TR></TABLE>

<!-- Field: Page; Sequence: 85; Value: 75 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->85<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top"><TD></TD></TR></TABLE><A name="page_86"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Officers and Directors (concluded)</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 20%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 2%"></td>
    <TD></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: bottom; text-align: left"><b><font color=#231f20>Name, Address</font></b><br>

<b>and Year of Birth</b></td>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</td>
    <TD STYLE="vertical-align: bottom; text-align: left"><b><font color=#231f20>Position(s)</font></b><br>

<b>Held with</b><br>

<b>Funds</b></td>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</td>
    <TD STYLE="vertical-align: bottom; text-align: left"><b><font color=#231f20>Length of</font></b><br>

<b>Time Served</b></td>
    <TD STYLE="vertical-align: bottom; text-align: left">&nbsp;</td>
    <TD STYLE="vertical-align: bottom; text-align: left"><b><font color=#231f20>Principal Occupation(s) During Past Five Years</font></b></td>
  </tr>

  <tr valign=bottom>

    <TD COLSPAN="7" STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT STYLE="color: #394c87">Officers</FONT></B><B><SUP><FONT STYLE="color: #394c87">1</FONT></SUP></B></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>John M. Perlowski</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1964</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>President</font><br>

and Chief<br>

Executive<br>

Officer</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2011</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Administration since 2009; Managing</font>

Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003

to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to

2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable

foundation) since 2009.</td>
  </tr>

  <tr valign=bottom></tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Anne Ackerley</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1962</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Vice</font><br>

President</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007<sup>2</sup></td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Managing Director of BlackRock since 2000; President and Chief Executive Officer of the BlackRock-advised funds</font>

from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of

BlackRock&#146;s Global Client Group since 2009; Chief Operating Officer of BlackRock&#146;s US Retail Group from 2006 to

2009; Head of BlackRock&#146;s Mutual Fund Group from 2000 to 2006.</td>
  </tr>

  <tr valign=bottom></tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Brendan Kyne</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1977</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Vice</font><br>

President</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2009</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product</font>

Development and Management for BlackRock&#146;s US Retail Group since 2009 and Co-head thereof from 2007 to 2009;

Vice President of BlackRock from 2005 to 2008.</td>
  </tr>

  <tr valign=bottom></tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Neal Andrews</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1966</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Chief</font><br>

Financial<br>

Officer</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund</font>

Accounting and Administration at PNC Global Investment Servicing (US) Inc. from 1992 to 2006.</td>
  </tr>

  <tr valign=bottom></tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Jay Fife</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1970</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Treasurer</font></td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund</font>

Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.</td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Brian Kindelan</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1959</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Chief</font><br>

Compliance<br>

Officer and<br>

Anti-Money<br>

Laundering Officer</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2007</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; border-bottom: Black 1pt solid; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel</font>

of BlackRock since 2005.</td>
  </tr>

  <tr valign=bottom></tr>

  <tr valign=bottom>

    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><b><font color=#231f20>Ira P. Shapiro</font></b><br>

55 East 52nd Street<br>

New York, NY 10055<br>

1963</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Secretary</font></td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Since</font><br>

2010</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt">&nbsp;</td>
    <TD STYLE="vertical-align: top; text-align: left; padding-top: 2pt; padding-bottom: 2pt"><font color=#231f20>Managing Director of BlackRock since 2009; Managing Director and Associate General Counsel of Barclays</font>

Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.</td>
  </tr>
</table><BR>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
    <TD STYLE="width: 22%">&nbsp;</TD>
<TD STYLE="width: 1%; text-align: left; border-top: Black 1pt solid; vertical-align: top"><FONT STYLE="color: #231f20"><SUP>1&nbsp;</SUP></FONT></TD><TD STYLE="width: 1%; border-top: Black 1pt solid">&nbsp;</TD><TD STYLE="border-top: Black 1pt solid; width: 76%"><FONT STYLE="color: #231f20">Officers of the Funds serve at the pleasure of the Board.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 8pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
    <TD STYLE="width: 22%">&nbsp;</TD>
<TD STYLE="width: 1%; text-align: left; vertical-align: top"><FONT STYLE="color: #231f20"><SUP>2&nbsp;</SUP></FONT></TD><TD STYLE="width: 1%">&nbsp;</TD><TD STYLE="width: 76%"><FONT STYLE="color: #231f20">Ms. Ackerley was President and Chief Executive Officer
from 2009 to 2011.&nbsp;</FONT></TD></TR></TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 20%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 16%"></TD>
     <TD STYLE="width: 16%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; padding-top: 2pt"><B><FONT color=#231f20>Investment Advisor</FONT></B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; padding-top: 2pt"><B><FONT color=#231f20>Custodian</FONT></B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; padding-top: 2pt"><B><FONT color=#231f20>Transfer Agent</FONT></B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; padding-top: 2pt"><B><FONT color=#231f20>Independent</FONT></B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; padding-top: 2pt"><B><FONT color=#231f20>Legal Counsel</FONT></B></TD>
     <TD STYLE="text-align: left; border-top: Black 1pt solid; padding-top: 2pt"><B><FONT color=#231f20>Address of the Funds</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BlackRock Advisors, LLC</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Bank and</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Common Shares</FONT></TD>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Registered Public</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Skadden, Arps, Slate,</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>100 Bellevue Parkway</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Wilmington, DE 19809</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Trust Company</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Computershare Trust</FONT></TD>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Accounting Firm</FONT></B></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Meagher &amp; Flom LLP</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Wilmington, DE 19809</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Boston, MA 02110</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Company, N.A.</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Deloitte &amp; Touche LLP</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>New York, NY 10036</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Sub-Advisor</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Canton, MA 02021</FONT></TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Boston, MA 02116</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BlackRock Financial</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>Management, Inc.</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><B><FONT color=#231f20>Accounting Agent</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>New York, NY 10022</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>State Street Bank</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>and Trust Company</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left"><FONT color=#231f20>Boston, MA 02110</FONT></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR></TABLE><BR>
<P STYLE="text-align: center; font: 10pt Arial, Helvetica, Sans-Serif; padding: 3pt; border: Black 1pt solid; margin-right: 16%; margin-left: 16%"><FONT color=#231f20>Effective July 28, 2011, Richard S. Davis resigned as Director of the Funds,</FONT><BR>
<FONT color=#231f20>and Paul L. Audet became Director of the Funds</FONT></P>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->86<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_87"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><A NAME="a_017"></A><FONT color=#394c87>Additional Information</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Proxy Results</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Annual Meeting of Shareholders was held on July 28, 2011, for shareholders of record on May 31, 2011, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Approved the Class I Directors as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="text-align: center; width: 7%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="text-align: center; width: 7%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="text-align: center; width: 7%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%; text-align: center"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B>Paul L. Audet</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Michael J. Castellano</FONT></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B>R. Glenn Hubbard</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B>W. Carl Kester</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BPP</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16,723,353</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>306,694</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16,725,948</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>304,099</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16,720,667</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>309,380</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>16,720,314</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>309,733</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>BTZ</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>42,910,998</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,210,384</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>42,906,687</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,214,695</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>42,806,687</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,314,695</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>42,818,399</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>4,302,983</FONT></TD>
     <TD STYLE="text-align: center"><FONT color=#231f20>0</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT color=#231f20>BGT</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>16,765,207</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>455,090</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>16,818,574</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>401,723</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>16,805,500</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>414,797</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>16,829,537</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>390,760</FONT></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Approved the Directors as follows:</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">
<TR>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 2%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD>
     <TD STYLE="width: 7%"></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B>Paul L. Audet</B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Michael J. Castellano</FONT></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B><FONT color=#231f20>Richard E. Cavanagh</FONT></B></TD>
     <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><B>Frank J. Fabozzi</B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center">&nbsp;</TD>
     <TD NOWRAP STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD NOWRAP STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,378,699</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>258,572</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,374,605</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>262,666</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,351,219</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>286,052</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,378,699</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>258,572</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>34,877,224</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>2,617,537</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>34,851,957</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>2,642,804</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>34,828,847</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>2,665,914</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>34,877,660</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>2,617,101</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT color=#231f20>Kathleen F. Feldstein</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">James T. Flynn</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">Henry Gabbay</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">Jerrold B. Harris</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,335,536</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>301,735</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,375,616</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>261,655</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,376,010</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>261,261</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>9,372,345</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>264,926</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>34,790,278</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>2,704,483</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>34,855,086</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>2,639,675</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>34,865,317</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>2,629,444</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>34,856,209</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>2,638,552</FONT></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: right"><FONT color=#231f20>0</FONT></TD></TR>
<TR>
     <TD colSpan=16>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="text-align: center; border-bottom: #000000 1px solid"><B><FONT STYLE="color: #231f20">R. Glenn Hubbard</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">W. Carl Kester</FONT></B></TD>
     <TD STYLE="text-align: center">&nbsp;</TD>
     <TD COLSPAN="3" STYLE="border-bottom: #000000 1px solid; text-align: center"><B><FONT STYLE="color: #231f20">Karen P. Robards</FONT></B></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: left">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-indent: 6pt; border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Votes For</FONT></B></TD>
     <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><B><FONT color=#231f20>Votes</FONT></B><BR>
<B>Withheld</B></TD>
     <TD STYLE="border-bottom: Black 1pt solid; text-align: center"><B><FONT color=#231f20>Abstain</FONT></B></TD>
     <TD STYLE="text-align: left"></TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD>
     <TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left"><FONT color=#231f20>PSW</FONT></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,350,644</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>286,627</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,376,435</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>260,836</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-indent: 6pt; text-align: right"><FONT color=#231f20>9,336,390</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>300,881</FONT></TD>
     <TD STYLE="text-align: right"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right"></TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD>
     <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD STYLE="text-align: left; border-bottom: Black 1pt solid"><FONT color=#231f20>PSY</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>34,823,847</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>2,670,914</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;<FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>34,858,068</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>2,636,693</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>34,841,143</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>2,653,618</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT color=#231f20>0</FONT></TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD>
     <TD STYLE="text-align: right; border-bottom: Black 1pt solid">&nbsp;</TD></TR></TABLE><!-- Field: Page; Sequence: 87; Value: 75 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%">ANNUAL REPORT</TD><TD STYLE="text-align: center; width: 34%">OCTOBER 31, 2011</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->87<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page --><BR><A name="page_88"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Additional Information (continued)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Fund Certification</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20">Each Fund is listed for trading on the NYSE and has filed with the
NYSE their annual chief executive officer certification regarding compliance with the NYSE&#146;s listing standards. The
Funds file with the SEC the certification of its chief executive officer and chief financial officer required by section 302
of the Sarbanes-Oxley Act.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Dividend Policy</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20">The Funds&#146; dividend policy is to distribute all or a portion
of their net investment income to their shareholders on a monthly basis. In order to provide shareholders with a more stable
level of dividend distributions, the Funds may at times pay out less than the entire amount of net investment income earned
in any particular month and may at times in any particular month pay out such accumulated but undistributed income in
addition to net investment income earned in that month. As a result, the dividends paid by the Funds for any particular month
may be more or less than the amount of net investment income earned by the Funds during such month. The Funds&#146; current
accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which
comprises part of the financial information included in this report.</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>General Information</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>On July 29, 2010, the Manager announced that a derivative complaint had been filed by Roy Curbow and other plaintiffs, including shareholders of PSY and BTZ on July 27, 2010 in the Supreme Court of the State of New York, New York County. The complaint names the Manager, BlackRock, Inc. and certain of the directors, officers and portfolio managers of PSY and BTZ as defendants. The complaint alleges, among other things, that the parties named in the complaint breached fiduciary duties owed to PSY and BTZ and their Common Shareholders by redeeming auction-market preferred shares, auction rate preferred securities, auction preferred shares and auction rate securities (collectively, &#147;AMPS&#148;) at their liquidation preference. The complaint seeks unspecified damages for losses purportedly suffered by PSY and BTZ as a result of the prior redemptions and injunctive relief preventing PSY and BTZ from redeeming AMPS at their liquidation preference in the future. The Manager, BlackRock, Inc. and the other defendants named in the complaint believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>On November 15, 2010, the Manager announced the intention to redeem all of the outstanding AMPS issued by five of its taxable closed-end funds: PSW, PSY, BPP, BTZ, and BGT. All such outstanding AMPS were subsequently redeemed. The redemptions encompass all remaining taxable AMPS issued by BlackRock closed-end funds and total approximately $569 million. The AMPS were redeemed with available cash or proceeds from reverse repurchase agreement financing or a credit facility on a fund-by-fund basis and, in each case, the refinancing resulted in a lower cost of financing for each fund under then-existing market conditions.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20">In exchange for the shareholder plaintiff's agreement to withdraw a
previously filed motion for preliminary injunction enjoining any further redemptions of AMPS, each of these funds agreed to
provide the plaintiffs in those actions with 30 days prior notice of any additional redemptions. On November 24, 2010, the
Manager announced that counsel for the plaintiffs filed a motion for a preliminary injunction enjoining PSY and BTZ from
redeeming outstanding AMPS pending final resolution of the underlying shareholder derivative suit. On December 23, 2010, the
court denied plaintiffs&#146; motion for a preliminary injunction.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>On June 3, 2011, a putative class action lawsuit was brought by Hinda Wachtel against PSY, certain former and current Directors of PSY, BlackRock, Inc., and certain other financial institutions in the Circuit Court for Baltimore City. The complaint alleges that the redemptions at par of certain AMPS issued by PSY constituted a breach of the fiduciary duties purportedly owed to the common shareholders of PSY; that PSY allegedly aided and abetted breaches of fiduciary duties by the Directors; and that PSY, BlackRock, Inc., and others were unjustly enriched. The Complaint requests a declaratory judgment that PSY aided and abetted breaches of fiduciary duties by the Directors and that PSY, BlackRock, Inc. and certain other financial institutions were unjustly enriched; seeks to enjoin BlackRock, Inc. from serving as investment adviser to PSY or otherwise earning fees for services rendered to PSY; and claims unquantified damages, attorneys' fees, interest and punitive damages. PSY, the Directors and BlackRock, Inc. believe that the claims asserted in the complaint are without merit and intend to defend themselves vigorously in the litigation.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>On June 9, 2011, a putative class action lawsuit was brought by Sydell Protas against BTZ, certain former and current Directors of BTZ, BlackRock, Inc., and certain other financial institutions, in the Court of Chancery of the State of Delaware. On August 31, 2011, Plaintiff filed an "Amended Verified Derivative and Class Action Complaint" (the "Amended Complaint"), which purports to assert certain of the claims derivatively on behalf of BTZ and certain of the claims directly as class claims. The Amended Complaint alleges that the redemptions at par of certain AMPS issued by BTZ constituted a breach of the fiduciary duties purportedly owed to the common shareholders of BTZ; that BTZ allegedly aided and abetted breaches of fiduciary duties by the Directors; and that BTZ, BlackRock, Inc., and others were unjustly enriched. The Amended Complaint requests a declaratory judgment that BTZ aided and abetted breaches of fiduciary duties by the Directors and that BTZ, BlackRock, Inc. and certain other financial institutions were unjustly enriched; seeks to enjoin BlackRock, Inc. from serving</FONT></P>
<!-- Field: Page; Sequence: 88 -->
<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->88<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
<!-- Field: /Page -->
<A name="page_89"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Additional Information (continued)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>General Information (concluded)</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>as investment adviser to BTZ or otherwise earning fees for services rendered to BTZ; and claims unquantified damages, attorneys' fees, interest and punitive damages. On October 14, 2011, all of the defendants moved to dismiss the Amended Complaint or to stay the action. BTZ, the Directors and BlackRock, Inc. believe that the claims asserted in the Amended Complaint are without merit and intend to defend themselves vigorously in the litigation.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds do not make available copies of their Statements of Additional Information because the Funds&#146; shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund&#146;s offerings and the information contained in each Fund&#146;s Statement of Additional Information may have become outdated.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>During the period, there were no material changes in the Funds&#146; investment objectives or policies or to the Funds&#146; charter or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds&#146; portfolios.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRock&#146;s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock&#146;s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock&#146;s website in this report.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Electronic Delivery</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Electronic copies of most financial reports are available on the Funds&#146; websites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds&#146; electronic delivery program.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>To enroll:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Shareholders Who Hold Accounts with Investment Advisors, Banks or
Brokerages:</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Householding</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called &#147;householding&#148; and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Availability of Quarterly Schedule of Investments</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds&#146; Forms N-Q are available on the SEC&#146;s website at http://www.sec.gov and may also be reviewed and copied at the SEC&#146;s Public Reference Room in Washington, DC. Information on how to access documents on the SEC&#146;s website without charge may be obtained by calling (800) SEC-0330. The Funds&#146; Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Availability of Proxy Voting Policies and Procedures</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC&#146;s website at http://www.sec.gov.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Availability of Proxy Voting Record</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>Information about how the Funds voted proxies relating to securities held in the Funds&#146; portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC&#146;s website at http://www.sec.gov.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT STYLE="color: #231f20"><B>Availability of Fund Updates</B></FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the &#147;Closed-end Funds&#148; section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds.</FONT></P>

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<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Additional Information (continued)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>Section 19(a) Notices</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund&#146;s investment experience during the year and may be subject to changes based on the tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT color=#231f20>October 31, 2011</FONT></B></P>
<TABLE CELLSPACING="0" CELLPADDING="0" BORDER="0" STYLE="font: 8pt Arial; width: 100%">

  <tr>

    <TD STYLE="width: 16%"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <TD STYLE="width: 12%; text-align: center"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <TD STYLE="width: 10%; text-align: right"></td>
    <TD STYLE="width: 2%"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 10%"></td>
    <TD STYLE="width: 10%; text-align: center"></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="4" STYLE="border-bottom: #000000 1px solid; text-align: center; border-top: Black 1pt solid"><b>Total Cumulative Distributions</b><br>

<b>for the Fiscal Year-to-Date</b></td>
    <TD STYLE="text-align: center; border-top: Black 1pt solid">&nbsp;</td>
    <TD COLSPAN="4" STYLE="text-align: center; border-bottom: Black 1pt solid; border-top: Black 1pt solid"><b><font color=#231f20>% Breakdown of the Total Cumulative</font></b><br>

<b>Distributions for the Fiscal Year-to-Date</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: Black 1pt solid; text-align: center">&nbsp;</td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Net</font></b><br>

<b>Investment</b><br>

<b>Income</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Realized</font></b><br>

<b>Capital</b><br>

<b>Gains</b><br>

<b>Short Term</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Return of</font></b><br>

<b>Capital</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Total Per</font></b><br>

<b>Common</b><br>

<b>Share</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid">&nbsp;</td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Net</font></b><br>

<b>Investment</b><br>

<b>Income</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Net Realized</font></b><br>

<b>Capital</b><br>

<b>Gains</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Return of</font></b><br>

<b>Capital</b></td>
    <TD STYLE="text-align: center; border-bottom: Black 1pt solid"><b><font color=#231f20>Total Per</font></b><br>

<b>Common</b><br>

<b>Share</b></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>PSW</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$0.611500</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$0.611500</font></td>
    <TD STYLE="text-align: left"></td>
    <TD STYLE="text-align: center"><font color=#231f20>100%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>100%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>PSY</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$0.659500</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$0.659500</font></td>
    <TD STYLE="text-align: left"></td>
    <TD STYLE="text-align: center"><font color=#231f20>100%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>100%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="text-align: left"><font color=#231f20>BPP</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>$0.668000</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: right"><font color=#231f20>$0.668000</font></td>
    <TD STYLE="text-align: left"></td>
    <TD STYLE="text-align: center"><font color=#231f20>100%</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="text-align: center"><font color=#231f20>100%</font></td>
  </tr>

  <tr valign=bottom>

    <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><font color=#231f20>BTZ</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>$0.845500</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><font color=#231f20>$0.845500</font></td>
    <TD STYLE="text-align: center; border-bottom: Black 1px solid">&nbsp;</td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>100%</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>&#151;</font></td>
    <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><font color=#231f20>100%</font></td>
  </tr>
</table><BR>
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<DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->90<!-- Field: /Sequence --></TD><TD STYLE="text-align: center; width: 34%">ANNUAL REPORT</TD><TD STYLE="text-align: right; width: 33%">OCTOBER 31, 2011</TD></TR></TABLE></DIV> <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_91"></A><BR>
<P STYLE="text-align: left; font-size: 14pt; border-top: rgb(57,76,165) 4pt solid"><FONT color=#394c87>Additional Information (concluded)</FONT></P>
<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239); padding-left: 12pt"><B><FONT color=#394c87>BlackRock Privacy Principles</FONT></B></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, &#147;Clients&#148;) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.</FONT></P>

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<P STYLE="text-align: left"></P><A name="page_92"></A><BR>
<P style="TEXT-ALIGN: left"><FONT color=#231f20>This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds leverage their Common Shares, which creates risk for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares&#146; yield. Statements and other information herein are as dated and are subject to change.</FONT></P>
<P style="TEXT-ALIGN: left">&nbsp;<IMG SRC="gopaperless.jpg" ALT=""></P>

<P STYLE="text-align: left"><FONT color=#231f20>#CE-CAFRI-5-10/11-AR</FONT></P>
<P STYLE="text-align: right"> <IMG SRC="blackrocklogo.jpg" ALT=""></p>


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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
2 &ndash; &nbsp;&nbsp;&nbsp;Code of Ethics &ndash; The registrant (or the &ldquo;Fund&rdquo;) has adopted a code of ethics, as of the end of
the period covered by this report, applicable to the registrant&rsquo;s principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar functions. During the period covered by this report,
there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without
charge at www.blackrock.com.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 41.75pt; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
3 &ndash; &nbsp;&nbsp;&nbsp;Audit Committee Financial Expert &ndash; The registrant&rsquo;s board of directors (the &ldquo;board of
directors&rdquo;), has determined that (i) the registrant has the following audit committee financial experts serving on its
audit committee and (ii) each audit committee financial expert is independent:</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Frank
J. Fabozzi<BR>
James T. Flynn<BR>
W. Carl Kester<BR>
Karen P. Robards</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3.5pc; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
registrant&rsquo;s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant
to Item 3(c)(4) of Form N-CSR.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Prof.
Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over
financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial
consulting services to corporate clients since 1978. Prof. Kester&rsquo;s financial consulting services present a breadth and
level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably
be expected to be raised by the registrant&rsquo;s financial statements.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Ms.
Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over
financial reporting as well as audit committee functions. Ms. Robards has been President of Robards &amp; Company, a financial
advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for
evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience
analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Under
applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an &ldquo;expert&rdquo;
for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being
designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial
expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities
imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations,
or liability of any other member of the audit committee or board of directors.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
4 &ndash; &nbsp;&nbsp;&nbsp;Principal Accountant Fees and Services</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
following table presents fees billed by Deloitte &amp; Touche LLP (&ldquo;D&amp;T&rdquo;) in each of the last two fiscal years
for the services rendered to the Fund:</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; line-height: 11pt; font-size: 11pt; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>(a)
    Audit Fees</B></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>(b)
    Audit-Related Fees<SUP>1</SUP></B></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>(c)
    Tax Fees<SUP>2</SUP></B></FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; text-align: center; border: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>(d)
    All Other Fees<SUP>3</SUP></B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 19%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Entity
    Name</B></FONT></TD>
    <TD STYLE="width: 11%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Current
    <BR> Fiscal Year <BR> End</B></FONT></TD>
    <TD STYLE="width: 10%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Previous
    <BR> Fiscal Year <BR> End</B></FONT></TD>
    <TD STYLE="width: 10%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Current
    <BR> Fiscal Year <BR> End</B></FONT></TD>
    <TD STYLE="width: 10%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Previous
    <BR> Fiscal Year<BR> &nbsp;End</B></FONT></TD>
    <TD STYLE="width: 10%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Current
    <BR> Fiscal Year <BR> End</B></FONT></TD>
    <TD STYLE="width: 10%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Previous
    <BR> Fiscal Year <BR> End</B></FONT></TD>
    <TD STYLE="width: 10%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Current
    <BR> Fiscal Year <BR> End</B></FONT></TD>
    <TD STYLE="width: 10%; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Previous
    <BR> Fiscal Year <BR> End</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; line-height: 11pt; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">BlackRock
    Floating Rate Income Trust</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$57,600</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$52,300</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$0</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$3,500</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$21,200</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$6,100</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$0</FONT></TD>
    <TD STYLE="line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">$0</FONT></TD></TR>
</TABLE>
<P STYLE="font: 9pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
following table presents fees billed by D&amp;T that were required to be approved by the registrant&rsquo;s audit committee (the
&ldquo;Committee&rdquo;) for services that relate directly to the operations or financial reporting of the Fund and that are rendered
on behalf of BlackRock Advisors, LLC (&ldquo;Investment Adviser&rdquo; or &ldquo;BlackRock&rdquo;) and entities controlling, controlled
by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (&ldquo;Fund Service Providers&rdquo;):</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 31%; padding-right: -1.5pc; line-height: 11pt; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>&nbsp;</B></FONT></TD>
    <TD STYLE="width: 31%; padding-right: -1.5pc; line-height: 11pt; font-weight: bold; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-top: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Current
    Fiscal Year End</B></FONT></TD>
    <TD STYLE="width: 38%; padding-right: -1.5pc; line-height: 11pt; font-weight: bold; text-align: center; border: Black 1pt solid"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Previous
    Fiscal Year End</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-weight: bold; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>(b)
    Audit-Related Fees<SUP>1</SUP></B></FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-weight: bold; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>(c)
    Tax Fees<SUP>2</SUP></B></FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-weight: bold; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>(d)
    All Other Fees<SUP>3</SUP></B></FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$3,030,000</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; text-align: center; border-bottom: Black 1pt solid; border-left: Black 1pt solid; border-right: Black 1pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$2,950,000</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 6pt"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">1 The nature
of the services includes assurance and related services reasonably related to the performance of the audit of financial statements
not included in Audit Fees.</FONT></P>

<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 6pt 41.75pt; text-indent: -41.75pt"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">2
The nature of the services includes tax compliance, tax advice and tax planning.</FONT></P>

<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0 0 0.75pc"><FONT STYLE="font: 8pt Times New Roman, Times, Serif">3
Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by
D&amp;T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(e)(1)
Audit Committee Pre-Approval Policies and Procedures:</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3.5pc; text-indent: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">The
Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance
services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must
approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and
Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these
non-audit services that the Committee believes are a) consistent with the SEC&rsquo;s auditor independence rules and b) routine
and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without
consideration on a specific case-by-case basis (&ldquo;general pre-approval&rdquo;). The term of any general pre-approval is 12
months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services
provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be
deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per
project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3.5pc; text-indent: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Any
proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other
services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each
service approved</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3.5pc; text-indent: 6pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an
analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman
the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services
exceeding pre-approved cost levels.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 42.7pt; text-indent: -0.7pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(e)(2)
None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception
in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 42.7pt; text-indent: -0.7pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(f)
Not Applicable</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 42.7pt; text-indent: -0.7pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(g)
The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment
Adviser and the Fund Service Providers were:</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" ALIGN="CENTER" STYLE="font: 8pt Times New Roman, Times, Serif; width: 80%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; border: windowtext 1pt solid; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Entity
    Name</B></FONT></TD>
    <TD STYLE="width: 31%; border: windowtext 1pt solid; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Current
    Fiscal Year End</B></FONT></TD>
    <TD STYLE="width: 29%; border: windowtext 1pt solid; line-height: 11pt; font-weight: bold; text-decoration: underline; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Previous
    Fiscal Year End</B></FONT></TD></TR>
<TR>
    <TD STYLE="border: windowtext 1pt solid; line-height: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
    Floating Rate Income Trust</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$21,200</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$20,377</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 42.7pt; text-indent: -0.7pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Additionally,
SAS No. 70 fees for the current and previous fiscal years of $3,030,000 and $2,950,000, respectively, were billed by D&amp;T to
the Investment Adviser.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.75pc 42.7pt; text-indent: -0.7pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(h)
The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser,
and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible
with maintaining the principal accountant&rsquo;s independence.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
5 &ndash; &nbsp;&nbsp;&nbsp;Audit Committee of Listed Registrants</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0 5pc; text-indent: -1.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)&nbsp;&nbsp;&nbsp;
The following individuals are members of the registrant&rsquo;s separately-designated standing audit committee established in
accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):<BR>
<BR>
Michael Castellano</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Frank
J. Fabozzi<BR>
James T. Flynn<BR>
W. Carl Kester<BR>
Karen P. Robards</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 5pc; text-indent: -1.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)&nbsp;&nbsp;&nbsp;
Not Applicable</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
6 &ndash; &nbsp;&nbsp;&nbsp;Investments<BR>
(a) The registrant&rsquo;s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this
form.<BR>
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
7 &ndash; &nbsp;&nbsp;&nbsp;Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
&ndash; The board of directors has delegated the voting of proxies for the Fund&rsquo;s portfolio securities to the Investment
Adviser pursuant to the Investment Adviser&rsquo;s proxy voting guidelines. Under these guidelines, the Investment Adviser will
vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may
present a conflict between the interests of the Fund&rsquo;s stockholders, on the one hand, and those of the Investment Adviser,
or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser&rsquo;s
Equity Investment Policy Oversight Committee, or a sub-committee thereof (the &ldquo;Oversight Committee&rdquo;) is aware of the
real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able
to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially,
the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes
on behalf of the Investment Adviser&rsquo;s clients. If the Investment Adviser determines not to retain an independent fiduciary,
or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the
proxy after consulting with the Investment Adviser&rsquo;s Portfolio Management Group and/or the Investment Adviser&rsquo;s Legal
and Compliance Department and concluding that the vote cast is in its client&rsquo;s best interest notwithstanding the conflict.
A copy of the Fund&rsquo;s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund
voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge,
(i) at www.blackrock.com and (ii) on the SEC&rsquo;s website at <U>http://www.sec.gov</U>.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
8 &ndash; &nbsp;&nbsp;&nbsp;Portfolio Managers of Closed-End Management Investment Companies &ndash; as of October 31, 2011.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 6pc; text-indent: -2.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)(1)
&#9;The Fund is managed by a team of investment professionals comprised of Leland T. Hart, Managing Director at BlackRock, James
E. Keenan, Managing Director at BlackRock and C. Adrian Marshall, Director at BlackRock. Messrs. Hart, Keenan and Marshall are
the Fund&rsquo;s co-portfolio managers and are responsible for the day-to-day management of the Fund&rsquo;s portfolio and the
selection of its investments. Mr. Keenan has been a member of the Fund&rsquo;s management team since 2007. Messrs. Hart and Marshall
have been members of the Fund&rsquo;s management team since 2009.</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Times New Roman, Times, Serif; margin-left: 3.45pc; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 27%; border: Black 1pt solid; padding-right: -0.9pt; padding-left: 0.3pc; font-size: 10pt; font-weight: bold"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Portfolio
    Manager</B></FONT></TD>
    <TD STYLE="width: 73%; border: Black 1pt solid; padding-right: 3.7pt; padding-left: 0.3pc; font-size: 10pt; font-weight: bold"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Biography</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: Black 1pt solid; padding-right: -0.9pt; padding-left: 0.3pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Leland
    T. Hart</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3.7pt; padding-left: 0.3pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Managing
    Director of BlackRock since 2009; Partner of R3 Capital Partners (&quot;R3&quot;) in 2009; Managing Director of R3 from 2008
    - 2009; Managing Director of Lehman Brothers from 2006 - 2008; Executive Director of Lehman Brothers from 2003 to 2006.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; padding-right: -0.9pt; padding-left: 0.3pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">James
    E. Keenan</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3.7pt; padding-left: 0.3pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Managing
    Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007;
    Vice President of BlackRock, Inc. from 2004 to 2005.</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; padding-right: -0.9pt; padding-left: 0.3pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">C.
    Adrian Marshall</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 3.7pt; padding-left: 0.3pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Director
    of BlackRock since 2007; Vice President of BlackRock, Inc. from 2004 to 2007.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 6pc; text-indent: -30.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 6pc; text-indent: -2.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)(2)&#9;As
of October 31, 2011:</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse">
<TR STYLE="text-align: center; vertical-align: bottom">
    <TD STYLE="border: Black 1pt solid; padding-bottom: 2pt; line-height: 11pt; font-size: 11pt; padding-top: 2pt"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>&nbsp;</B></FONT></TD>
    <TD COLSPAN="3" STYLE="border: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; line-height: 11pt; font-weight: bold"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>(ii)
    Number of Other Accounts Managed<BR> and Assets by Account Type</B></FONT></TD>
    <TD COLSPAN="4" STYLE="border: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; line-height: 11pt; font-weight: bold"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>(iii)
    Number&nbsp;of&nbsp;Other&nbsp;Accounts&nbsp;and<BR> Assets&nbsp;for Which Advisory Fee is<BR> Performance-Based</B></FONT></TD></TR>
<TR>
    <TD STYLE="border-right: Black 1pt solid; vertical-align: bottom; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; padding-bottom: 2pt; line-height: 11pt; font-size: 10pt; font-weight: bold; text-align: center; padding-top: 2pt"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>(i)
    Name of<BR>
    Portfolio Manager</B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; vertical-align: bottom; border-bottom: Black 1pt solid; padding-right: 0.3pt; padding-bottom: 2pt; line-height: 11pt; font-weight: bold; text-align: center; padding-top: 2pt"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Other<BR>
    Registered<BR> Investment<BR> Companies</B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; vertical-align: bottom; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; line-height: 11pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Other
    Pooled<BR> Investment<BR> Vehicles</B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; vertical-align: bottom; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; line-height: 11pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Other<BR>
    Accounts</B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; vertical-align: bottom; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; line-height: 11pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Other<BR>
    Registered<BR> Investment<BR> Companies</B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; vertical-align: bottom; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; line-height: 11pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Other
    Pooled<BR> Investment<BR> Vehicles</B></FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; vertical-align: bottom; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; line-height: 11pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Times New Roman, Times, Serif"><B>Other<BR>
    Accounts</B></FONT></TD>
    </TR>
<TR STYLE="background-color: rgb(204,255,255)">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; vertical-align: top; padding-bottom: 2pt; line-height: 11pt; padding-top: 2pt">&nbsp;<FONT STYLE="font: 10pt Times New Roman, Times, Serif">Leland
    T. Hart</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; padding-right: 0.3pt; padding-bottom: 2pt; line-height: 11pt; text-align: center; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">8</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">17</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">7</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">11</FONT></TD>
    <TD COLSPAN="2" STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0</FONT></TD></TR>
<TR>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; vertical-align: top; padding-bottom: 2pt; line-height: 11pt; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; padding-right: 0.3pt; padding-bottom: 2pt; line-height: 11pt; text-align: center; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$2.72
    Billion</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$3.54
    Billion</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$921.1
    Million</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$2.53
    Billion</FONT></TD>
    <TD COLSPAN="2" STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD></TR>
<TR STYLE="background-color: #CCFFFF">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; vertical-align: top; padding-bottom: 2pt; line-height: 11pt; padding-top: 2pt">&nbsp;<FONT STYLE="font: 10pt Times New Roman, Times, Serif">James
    E. Keenan</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; padding-right: 0.3pt; padding-bottom: 2pt; line-height: 11pt; text-align: center; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">21</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">19</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">30</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">13</FONT></TD>
    <TD COLSPAN="2" STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">4</FONT></TD></TR>
<TR>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; vertical-align: top; padding-bottom: 2pt; line-height: 11pt; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; padding-right: 0.3pt; padding-bottom: 2pt; line-height: 11pt; text-align: center; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$11.73
    Billion</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$6.99
    Billion</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$5.452
    Billion</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$2.66
    Billion</FONT></TD>
    <TD COLSPAN="2" STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$570.4
    Million</FONT></TD></TR>
<TR STYLE="background-color: #CCFFFF">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; vertical-align: top; padding-bottom: 2pt; line-height: 11pt; padding-top: 2pt">&nbsp;<FONT STYLE="font: 10pt Times New Roman, Times, Serif">C.
    Adrian Marshall, CFA</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; padding-right: 0.3pt; padding-bottom: 2pt; line-height: 11pt; text-align: center; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">8</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">17</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">7</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">11</FONT></TD>
    <TD COLSPAN="2" STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">0</FONT></TD></TR>
<TR>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; vertical-align: top; padding-bottom: 2pt; line-height: 11pt; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; vertical-align: bottom; padding-right: 0.3pt; padding-bottom: 2pt; line-height: 11pt; text-align: center; padding-top: 2pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$2.72
    Billion</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$3.54
    Billion</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$921.1
    Million</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$2.53
    Billion</FONT></TD>
    <TD COLSPAN="2" STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding: 2pt -2pt 2pt 0.45pc; vertical-align: bottom; line-height: 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">$0</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 11pt 0 0.5pc 6pc; text-indent: -30.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(iv)&#9;Potential
Material Conflicts of Interest</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect
against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address
the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential
conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock
furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent
with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or
have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such
fees), which may be the same as or different from those made to the Fund.&nbsp; In addition, BlackRock, Inc., its affiliates and
significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities
whose purchase and sale BlackRock recommends to the Fund.&nbsp; BlackRock, Inc., or any of its affiliates or significant shareholders,
or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended
to the Fund by BlackRock with respect to the same securities.&nbsp; Moreover, BlackRock may refrain from rendering any advice
or services concerning securities of companies of which any of BlackRock, Inc.&rsquo;s (or its affiliates&rsquo; or significant
shareholders&rsquo;) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any
of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic
interest or possesses material non-public information.&nbsp; Certain portfolio managers also may manage accounts whose investment
strategies may at times be opposed to the strategy utilized for a fund.&nbsp; It should also be noted that Messrs. Hart, Keenan
and Marshall may be managing certain hedge fund and/or long only accounts, or may be part of a team managing certain hedge fund
and/or long only accounts, subject to incentive fees. Messrs. Hart, Keenan and Marshall may therefore be entitled to receive a
portion of any incentive fees earned on such accounts.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.75pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">As
a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.&nbsp; When BlackRock purchases
or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.&nbsp;
BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential
treatment.&nbsp; To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client
transactions and provide BlackRock with sufficient</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.75pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.75pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">flexibility to allocate investments in a manner that is consistent with the
particular investment discipline and client base, as appropriate.</FONT></P>


<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 6pc; text-indent: -2.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)(3)&#9;As
of October 31, 2011:</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Portfolio
Manager Compensation Overview</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-indent: 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock&rsquo;s
financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect
the value senior management places on key resources. Compensation may include a variety of components and may vary from year to
year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary
bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-align: justify; text-indent: 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Base
compensation.</B> Generally, portfolio managers receive base compensation based on their position with the firm.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-indent: 1.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Discretionary
Incentive Compensation. </B>Discretionary incentive compensation is a function of several components: the performance of BlackRock,
the performance of the portfolio manager&rsquo;s group within BlackRock, the investment performance, including risk-adjusted returns,
of the firm&rsquo;s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and
the individual&rsquo;s performance and contribution to the overall performance of these portfolios and BlackRock.&nbsp; In most
cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the funds or other accounts
managed by the portfolio managers are measured.&nbsp; Among other things, BlackRock&rsquo;s Chief Investment Officers make a subjective
determination with respect to each portfolio manager&rsquo;s compensation based on the performance of the funds and other accounts
managed by each portfolio manager relative to the various benchmarks.&nbsp; Performance of fixed income and multi-asset class
funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable.&nbsp;
Performance of index funds is based on the performance of such funds relative to pre-determined tolerance bands around a benchmark,
as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts include the following:</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 3.5pc; text-indent: 1.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<TABLE ALIGN="CENTER" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Times New Roman, Times, Serif; width: 70%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 36%; border: windowtext 1pt solid; padding-right: 2.55pt; font-size: 10pt; font-weight: bold"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Portfolio
    Manager</B></FONT></TD>
    <TD STYLE="width: 64%; border: windowtext 1pt solid; padding-right: 2.55pt; font-size: 10pt; font-weight: bold"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Applicable
    Benchmarks</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border: windowtext 1pt solid; padding-right: -0.9pt; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Leland
    T. Hart</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 0.45pc; padding-left: 0.45pc"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">100%
        SNPLLALL / 25% EMBIGLOBAL / -</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">119%
        SNPLLALL / -19% No Benchmark Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">121%
        SNPLLALL / -21% No Benchmark Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">123%
        SNPLLALL / -23% No Benchmark Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3-Month
        JPY LIBOR Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3-Month
        U.S. Dollar Libor Customized</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">41.67%
        SNPLLALL / 41.67% LHY2ICAP</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">58.5%
        LHY2ICAP / 58.5% SNPLLALL /</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">60%
        LHY2ICAP / 60% SNPLLALL / -20%</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance
        Benchmark for GIS-CLIP</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Performance
        Benchmark for SFRP</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Standard
        &amp; Poor's U.S. Levereged Loan Index</FONT></P></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-top: windowtext 1pt solid; border-right: Black 1pt solid; border-left: windowtext 1pt solid; padding-right: -0.9pt; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">James
    E. Keenan</FONT></TD>
    <TD STYLE="border-right: Black 1pt solid; padding-right: 0.45pc; padding-left: 0.45pc"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">121%
        LHY2ICAP / -21% No Benchmark Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3-Month
        Sterling LIBID</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">50%
        Barclays Capital High Yield Corp BB/50</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"></P></TD></TR>

<TR STYLE="vertical-align: top">
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; border-left: windowtext 1pt solid; padding-right: -0.9pt; font-size: 10pt"></TD>
    <TD STYLE="border-right: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 0.45pc; padding-left: 0.45pc"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">50%
BHYXHB2C / 50% BHYXHBB2C Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">50%
        CGHYCPBB, 50% CGHYCPB</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">60%
        LHY2ICAP / 40% SNPLLALL Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Barclays
        Capital High Yield 2% Iss</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Barclays
        Capital High Yield 4% Iss</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Barclays
        Capital High Yield BB only</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Barclays
        Capital High Yield Cash P</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Barclays
        Capital High Yield Corporate</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Bank
        of America ML BB-B U.S. Non-Financial Cash</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Bank
        of America ML Global High Yield</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Bank
        of America ML Global High Yield Constraint</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Citigroup
        High Yield Cash Pay Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">J.P.
        Morgan High Yield Index</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Standard
        &amp; Poor's Leveraged All Loan Index in EU</FONT></P></TD></TR>
<TR>
    <TD STYLE="border: windowtext 1pt solid; padding-right: -0.9pt; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">C.
    Adrian Marshall, CFA</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; vertical-align: top; padding-right: 0.45pc; padding-left: 0.45pc"><P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3-Month
        U.S. Dollar Libor Customized</FONT></P>
        <P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 2.55pt 0 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">81%
        LHY2ICAP / 35% LEH_CREDIT / -1</FONT></P></TD></TR>
</TABLE>
<P STYLE="font: 12pt PHHIM E+ Times; margin: 0"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>&nbsp;</B></FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc"></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B></B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>&nbsp;</B></FONT></P>


<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Distribution
of Discretionary Incentive Compensation</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-indent: 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Discretionary
incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units
which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed
in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably
over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock.
Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers.
Paying a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a given year &ldquo;at risk&rdquo;
based on BlackRock&rsquo;s ability to sustain and improve its performance over future periods. Providing a portion of annual bonuses
in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment
product results.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-indent: 0.5in"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><I>Long-Term
Incentive Plan Awards &mdash; </I>From time to time long-term incentive equity awards are granted to certain key employees to
aid in retention, align their interests with long-term shareholder interests and motivate performance. &nbsp;Equity awards are
generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock.
Messrs. Hart, Keenan and Marshall have each received long-term incentive awards.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-indent: 2.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><I>Deferred
Compensation Program &mdash; </I>A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred
into an account that tracks the performance of certain of the firm&rsquo;s investment products. Each participant in the deferred
compensation program is permitted to allocate his deferred amounts among various BlackRock investment options. Messrs. Hart, Keenan
and Marshall have each participated in the deferred compensation program.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-indent: 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Other
compensation benefits. </B>In addition to base compensation and discretionary incentive compensation, portfolio managers may be
eligible to receive or participate in one or more of the following incentive savings plans. BlackRock,&nbsp;Inc. has created a
variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k)&nbsp;plan,
the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution
components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000
per year, and a company retirement contribution equal to 3-5% of eligible compensation.&nbsp; The RSP offers a range of investment
options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions
follow the investment direction set by participants for their own contributions or, absent participant investment direction, are
invested into an index target date fund that corresponds to, or is closest to, the year in which the participant attains age 65.&nbsp;
The ESPP allows for investment in BlackRock common stock at a 5% discount on the fair market value of the stock on the purchase
date.&nbsp; Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000.&nbsp; Each
portfolio manager is eligible to participate in these plans.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0.5pc 3.5pc; text-indent: 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"></FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 70.5pt; text-indent: -2.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)(4)&#9;<I>Beneficial
Ownership of Securities</I> &ndash; As of October 31, 2011.</FONT></P>

<TABLE ALIGN="CENTER" CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Times New Roman, Times, Serif; width: 70%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="border: windowtext 1pt solid; padding-right: -0.9pt; padding-left: 0.45pc; font-size: 10pt; width: 43%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Portfolio
    Manager</B></FONT></TD>
    <TD STYLE="width: 57%; border: windowtext 1pt solid; padding-right: 2.55pt; font-size: 10pt; font-weight: bold"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Dollar
    Range of Equity Securities of the Fund Beneficially Owned</B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border: windowtext 1pt solid; padding-right: -0.9pt; padding-left: 0.45pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Leland
    T. Hart</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 2.55pt; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">None</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border: windowtext 1pt solid; padding-right: -0.9pt; padding-left: 0.45pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">James
    E. Keenan</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 2.55pt; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">None</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border: windowtext 1pt solid; padding-right: -0.9pt; padding-left: 0.45pc; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">C.
    Adrian Marshall, CFA</FONT></TD>
    <TD STYLE="border-right: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 2.55pt; font-size: 10pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">None</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: -41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 70.5pt; text-indent: -2.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)
Not Applicable</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
9 &ndash; &nbsp;&nbsp;&nbsp;Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers &ndash; Not
Applicable due to no such purchases during the period covered by this report.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
10 &ndash; Submission of Matters to a Vote of Security Holders &ndash; There have been no material changes to these procedures.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
11 &ndash; Controls and Procedures</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)
&ndash; The registrant&rsquo;s principal executive and principal financial officers, or persons performing similar functions,
have concluded that the registrant&rsquo;s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940, as amended (the &ldquo;1940 Act&rdquo;)) are effective as of a date within 90 days of the filing of this
report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b)
under the Securities Exchange Act of 1934, as amended.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)
&ndash; There were no changes in the registrant&rsquo;s internal control over financial reporting (as defined in Rule 30a-3(d)
under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected,
or are reasonably likely to materially affect, the registrant&rsquo;s internal control over financial reporting.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc; text-indent: -3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Item
12 &ndash; Exhibits attached hereto</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)(1)
&ndash; Code of Ethics &ndash; See Item 2</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)(2)
&ndash; Certifications &ndash; Attached hereto</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 3.5pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(a)(3)
&ndash; Not Applicable</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 0.5pc; text-indent: 3pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">(b)
&ndash; Certifications &ndash; Attached hereto</FONT></P>

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0.5pc 0 0.5pc 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0.5pc 0 0.5pc 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
Floating Rate Income Trust</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Times New Roman, Times, Serif; margin-left: 41.75pt; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 8%; padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">By:</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt; width: 92%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><U>/s/
    John M. Perlowski</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">John
    M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Chief
    Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
    Floating Rate Income Trust</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0.5pc 0 0.5pc 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:
January 3, 2012</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0.5pc 0 0.5pc 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Times New Roman, Times, Serif; margin-left: 41.75pt; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 8%; padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">By:</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt; width: 92%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><U>/s/
    John M. Perlowski</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">John
    M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Chief
    Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
    Floating Rate Income Trust</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0.5pc 0 0.5pc 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:
January 3, 2012</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Times New Roman, Times, Serif; margin-left: 41.75pt; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 8%; padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">By:</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt; width: 92%"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><U>/s/
Neal J. Andrews</U></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Neal
    J. Andrews</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Chief
    Financial Officer (principal financial officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: -1.5pc; line-height: 11pt; font-size: 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
    Floating Rate Income Trust</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:
January 3, 2012</FONT></P>

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<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>e46772ex99cert.htm
<DESCRIPTION>CERTIFICATIONS
<TEXT>
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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pc; border-bottom: Black 0.75pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></FONT></P>

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

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

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Trust;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect
to the period covered by this report;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all
material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements
are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">4.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by
others within those entities, particularly during the period in which this report is being prepared;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this
report based on such evaluation; and</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">d)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second
fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting; and</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the
registrant's board of directors (or persons performing the equivalent functions):</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information;
and</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:
January 3, 2012</FONT></P>

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

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

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

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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0pc; border-bottom: Black 0.75pt solid"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></FONT></P>

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

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

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;I have reviewed this report on Form N-CSR of BlackRock Floating Rate Income Trust;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">2.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect
to the period covered by this report;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">3.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all
material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements
are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">4.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by
others within those entities, particularly during the period in which this report is being prepared;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed
under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">c)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions
about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this
report based on such evaluation; and</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">d)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second
fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting; and</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">5.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the
registrant's board of directors (or persons performing the equivalent functions):</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">a)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information;
and</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt 3pc; text-indent: 0pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">b)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's
internal control over financial reporting.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:
January 3, 2012</FONT></P>

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

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

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






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<P STYLE="margin: 0">&nbsp;</P>

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

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<TYPE>EX-99.906CERT
<SEQUENCE>3
<FILENAME>e46772ex99-906cert.htm
<DESCRIPTION>CERTIFICATIONS
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<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Exhibit
99.1350CERT</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: center"><FONT STYLE="font: 10pt Times New Roman, Times, Serif"><B>Certification
Pursuant to Rule 30a-2(b) under the 1940 Act and<BR>
Section 906 of the Sarbanes-Oxley Act of 2002</B></FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Pursuant
to 18 U.S.C. &sect; 1350, the undersigned officer of BlackRock Floating Rate Income Trust (the &ldquo;Registrant&rdquo;), hereby
certifies, to the best of his knowledge, that the Registrant&rsquo;s Report on Form N-CSR for the period ended October 31, 2011
(the &ldquo;Report&rdquo;) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended,
and that the information contained in the Report fairly presents, in all material respects, the financial condition and results
of operations of the Registrant.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:
January 3, 2012</FONT></P>

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

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

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

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0.75pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
Floating Rate Income Trust</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-align: justify"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Pursuant
to 18 U.S.C. &sect; 1350, the undersigned officer of BlackRock Floating Rate Income Trust (the &ldquo;Registrant&rdquo;), hereby
certifies, to the best of his knowledge, that the Registrant&rsquo;s Report on Form N-CSR for the period ended October 31, 2011
(the &ldquo;Report&rdquo;) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended,
and that the information contained in the Report fairly presents, in all material respects, the financial condition and results
of operations of the Registrant.</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">Date:
January 3, 2012</FONT></P>

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

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

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

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 0.75pc"><FONT STYLE="font: 10pt Times New Roman, Times, Serif">BlackRock
Floating Rate Income Trust</FONT></P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font: 10pt 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, and 18 U.S.C. Section 1350
and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission<B>.</B></FONT></P>



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<DOCUMENT>
<TYPE>EX-99.PROXYPOL
<SEQUENCE>4
<FILENAME>e46772ex99proxy.htm
<DESCRIPTION>PROXY VOTING POLICIES
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<P STYLE="font: 26pt Arial, Helvetica, Sans-Serif; margin: 0; text-decoration: none; text-align: left"><FONT STYLE="font-size: 10pt"><B>EX
99.PROXYPOL</B>&nbsp;</FONT></P>

<P STYLE="font: 26pt Arial, Helvetica, Sans-Serif; margin: 0; text-decoration: none; text-align: right"><FONT STYLE="font-size: 10pt">CONFIDENTIAL</FONT></P>

<P STYLE="font: 26pt Arial, Helvetica, Sans-Serif; margin: 0; text-decoration: underline; text-align: center"><FONT STYLE="font-size: 10pt"></FONT></P>

<P STYLE="font: 26pt Arial, Helvetica, Sans-Serif; margin: 0; text-decoration: underline; text-align: center">Proxy Voting Policies</P>

<P STYLE="font: 18pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 18pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 18pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">For The BlackRock-Advised Funds</P>

<P STYLE="font: 18pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 18pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">December, 2009</P>

<P STYLE="font: 18pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%">
<TR>
    <TD>
        <P STYLE="font: 10.5pt Trebuchet MS, Times, Serif; margin: 0">Copyright &copy; 2010 BlackRock, Inc.</P>
        <P STYLE="font: 10.5pt Trebuchet MS, Times, Serif; margin: 0">All rights reserved.</P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0">&nbsp;</P>

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<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 6pt 0; text-align: center">Table of Contents</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%; margin-left: 4.65pt; border-collapse: collapse">
<TR STYLE="vertical-align: bottom; height: 14.25pt">
    <TD NOWRAP STYLE="width: 11%; padding-right: 5.4pt; padding-left: 5.4pt; height: 14.25pt; font-size: 10.5pt; text-align: right">&nbsp;&nbsp;</TD>
    <TD NOWRAP STYLE="width: 38%; padding-right: 5.4pt; padding-left: 5.4pt; height: 14.25pt">&nbsp;</TD>
    <TD NOWRAP STYLE="width: 51%; padding-right: 5.4pt; padding-left: 5.4pt; height: 14.25pt; font-size: 10.5pt; text-align: right">Page</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">I.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">Introduction</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right">1</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">II.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">Proxy Voting Policies</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right">2</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">A.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">Boards of Directors</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right; text-indent: 10pt">2</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">B.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">Auditors</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-align: right">2</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">C.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">Compensation and Benefits</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right; text-indent: 10pt">2</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">D.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">Capital Structure</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right; text-indent: 10pt">2</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">E.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">Corporate Charter and By-Laws</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right; text-indent: 10pt">3</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">F.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-indent: 10pt">Environmental and Social Issues</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right; text-indent: 10pt">3</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">III.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">CONFLICTS MANAGEMENT</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right">3</TD></TR>
<TR STYLE="vertical-align: bottom; height: 12.75pt">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">IV.</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none">Reports to the Board</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; height: 12.75pt; text-decoration: none; text-align: right">3</TD></TR>
</TABLE>
<P STYLE="font: italic 10.5pt Arial, Helvetica, Sans-Serif; margin: 0 0 6pt; text-align: justify; text-indent: 0pt">&nbsp;</P>

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<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 10.5pt Trebuchet MS, Times, Serif; text-transform: uppercase"><B>I.&nbsp;</B></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif"><B>Introduction&nbsp;</B></FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Trebuchet MS, Times, Serif; margin: 0; text-align: justify; text-indent: 0.5in">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">The Trustees/Directors (&ldquo;Directors&rdquo;)
of the BlackRock-Advised Funds (the &ldquo;Funds&rdquo;) have the responsibility for voting proxies relating to portfolio securities
of the Funds, and have determined that it is in the best interests of the Funds and their shareholders to delegate that responsibility
to BlackRock Advisors, LLC and its affiliated U.S. registered investment advisers (&ldquo;BlackRock&rdquo;), the investment adviser
to the Funds, as part of BlackRock&rsquo;s authority to manage, acquire and dispose of account assets. The Directors hereby direct
BlackRock to vote such proxies in accordance with this Policy, and any proxy voting guidelines that the Adviser determines are
appropriate and in the best interests of the Funds&rsquo; shareholders and which are consistent with the principles outlined in
this Policy. The Directors have authorized BlackRock to utilize an unaffiliated third-party as its agent to vote portfolio proxies
in accordance with this Policy and to maintain records of such portfolio proxy voting.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">Rule 206(4)-6 under the Investment Advisers
Act of 1940 requires, among other things, that an investment adviser that exercises voting authority over clients&rsquo; proxy
voting adopt policies and procedures reasonably designed to ensure that the adviser votes proxies in the best interests of clients,
discloses to its clients information about those policies and procedures and also discloses to clients how they may obtain information
on how the adviser has voted their proxies.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">BlackRock has adopted separate but substantially
similar guidelines and procedures that are consistent with the principles of this Policy. BlackRock&rsquo;s Corporate Governance
Committee (the &ldquo;Committee&rdquo;), addresses proxy voting issues on behalf of BlackRock and its clients, including the Funds.
The Committee is comprised of senior members of BlackRock&rsquo;s Portfolio Management and Administration Groups and is advised
by BlackRock&rsquo;s Legal and Compliance Department.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">BlackRock votes (or refrains from voting)
proxies for each Fund in a manner that BlackRock, in the exercise of its independent business judgment, concludes are in the best
economic interests of such Fund. In some cases, BlackRock may determine that it is in the best economic interests of a Fund to
refrain from exercising the Fund&rsquo;s proxy voting rights (such as, for example, proxies on certain non-U.S. securities that
might impose costly or time-consuming in-person voting requirements). With regard to the relationship between securities lending
and proxy voting, BlackRock&rsquo;s approach is also driven by our clients&rsquo; economic interests. The evaluation of the economic
desirability of recalling loans involves balancing the revenue producing value of loans against the likely economic value of casting
votes. Based on our evaluation of this relationship, BlackRock believes that the likely economic value of casting a vote generally
is less than the securities lending income, either because the votes will not have significant economic consequences or because
the outcome of the vote would not be affected by BlackRock recalling loaned securities in order to ensure they are voted. Periodically,
BlackRock analyzes the process and benefits of voting proxies for securities on loan, and will consider whether any modification
of its proxy voting policies or procedures are necessary in light of any regulatory changes.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">BlackRock will normally vote on specific proxy
issues in accordance with BlackRock&rsquo;s proxy voting guidelines. BlackRock&rsquo;s proxy voting guidelines provide detailed
guidance as to how to vote proxies on certain important or commonly raised issues. BlackRock may, in the exercise of its business
judgment, conclude that the proxy voting guidelines do not cover the specific matter upon which a proxy vote is requested, or that
an exception to the proxy voting guidelines would be in the best economic interests of a Fund. BlackRock</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify"></P>

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<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">votes (or refrains from
voting) proxies without regard to the relationship of the issuer of the proxy (or any shareholder of such issuer) to the Fund,
the Fund&rsquo;s affiliates (if any), BlackRock or BlackRock&rsquo;s affiliates. When voting proxies, BlackRock attempts to encourage
companies to follow practices that enhance shareholder value and increase transparency and allow the market to place a proper value
on their assets.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center; text-indent: 36pt"><B>&nbsp;</B></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 10.5pt Trebuchet MS, Times, Serif"><B>II.&nbsp;</B></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; text-transform: uppercase"><B>Proxy
Voting Policies&nbsp;</B></FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: bold 10.5pt Trebuchet MS, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">A.&nbsp;</TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boards of Directors&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 0pt">The Funds generally support
the board&rsquo;s nominees in the election of directors and generally support proposals that strengthen the independence of boards
of directors. As a general matter, the Funds believe that a company&rsquo;s board of directors (rather than shareholders) is most
likely to have access to important, nonpublic information regarding a company&rsquo;s business and prospects, and is therefore
best-positioned to set corporate policy and oversee management. The Funds therefore believe that the foundation of good corporate
governance is the election of responsible, qualified, independent corporate directors who are likely to diligently represent the
interests of shareholders and oversee management of the corporation in a manner that will seek to maximize shareholder value over
time. In individual cases, consideration may be given to a director nominee&rsquo;s history of representing shareholder interests
as a director of the company issuing the proxy or other companies, or other factors to the extent deemed relevant by the Committee.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: bold 10.5pt Trebuchet MS, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">B.&nbsp;</TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Auditors&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 0pt">These proposals concern
those issues submitted to shareholders related to the selection of auditors. As a general matter, the Funds believe that corporate
auditors have a responsibility to represent the interests of shareholders and provide an independent view on the propriety of financial
reporting decisions of corporate management. While the Funds anticipate that BlackRock will generally defer to a corporation&rsquo;s
choice of auditor, in individual cases, consideration may be given to an auditors&rsquo; history of representing shareholder interests
as auditor of the company issuing the proxy or other companies, to the extent deemed relevant.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: bold 10.5pt Trebuchet MS, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">C.&nbsp;</TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Compensation and Benefits&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 0pt">These proposals concern
those issues submitted to shareholders related to management compensation and employee benefits. As a general matter, the Funds
favor disclosure of a company&rsquo;s compensation and benefit policies and oppose excessive compensation, but believe that compensation
matters are normally best determined by a corporation&rsquo;s board of directors, rather than shareholders. Proposals to &ldquo;micro-manage&rdquo;
a company&rsquo;s compensation practices or to set arbitrary restrictions on compensation or benefits should therefore generally
not be supported.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: bold 10.5pt Trebuchet MS, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">D.&nbsp;</TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital Structure&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">These proposals relate to various requests,
principally from management, for approval of amendments that would alter the capital structure of a company, such as an increase
in authorized shares. As a general matter, the Funds expect that BlackRock will support requests that it believes enhance the rights
of common shareholders and oppose requests that appear to be unreasonably dilutive.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<P STYLE="font: bold 10.5pt Trebuchet MS, Times, Serif; margin: 0; text-indent: 0pt"></P>

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<TD STYLE="width: 17pt; text-align: right">E.&nbsp;</TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Charter and By-Laws&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">These proposals relate to various requests
for approval of amendments to a corporation&rsquo;s charter or by-laws. As a general matter, the Funds generally vote against anti-takeover
proposals and proposals that would create additional barriers or costs to corporate transactions that are likely to deliver a premium
to shareholders.</P>

<P STYLE="font: bold 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: bold 10.5pt Trebuchet MS, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right">F.&nbsp;</TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Environmental and Social Issues&nbsp;</FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">These are shareholder proposals addressing
either corporate social and environmental policies or requesting specific reporting on these issues. The Funds generally do not
support proposals on social issues that lack a demonstrable economic benefit to the issuer and the Fund investing in such issuer.
BlackRock seeks to make proxy voting decisions in the manner most likely to protect and promote the long-term economic value of
the securities held in client accounts. We intend to support economically advantageous corporate practices while leaving direct
oversight of company management and strategy to boards of directors. We seek to avoid micromanagement of companies, as we believe
that a company&rsquo;s board of directors is best positioned to represent shareholders and oversee management on shareholders behalf.
Issues of corporate social and environmental responsibility are evaluated on a case-by-case basis within this framework.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 10.5pt Trebuchet MS, Times, Serif"><B>III.&nbsp;</B></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; text-transform: uppercase"><B>CONFLICTS MANAGEMENT</B></font></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify"><B>&nbsp;</B></P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">BlackRock maintains policies and procedures
that are designed to prevent any relationship between the issuer of the proxy (or any shareholder of the issuer) and a Fund, a
Fund&rsquo;s affiliates (if any), BlackRock or BlackRock&rsquo;s affiliates, from having undue influence on BlackRock&rsquo;s proxy
voting activity. In certain instances, BlackRock may determine to engage an independent fiduciary to vote proxies as a further
safeguard against potential conflicts of interest or as otherwise required by applicable law. The independent fiduciary may either
vote such proxies or provide BlackRock with instructions as to how to vote such proxies. In the latter case, BlackRock votes the
proxy in accordance with the independent fiduciary&rsquo;s determination.</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify">&nbsp;</P>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: justify; text-indent: 36pt">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 10pt Times New Roman, Times, Serif; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 17pt; text-align: right"><FONT STYLE="font: 10.5pt Trebuchet MS, Times, Serif; text-transform: uppercase"><B>IV.&nbsp;</B></FONT></TD><TD STYLE="width: 5pt"></TD><TD><FONT STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif"><B>Reports to the Board&nbsp;</B></FONT></TD></TR></TABLE>

<P STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center">&nbsp;</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><FONT STYLE="font: 10.5pt Arial, Helvetica, Sans-Serif">BlackRock
will report to the Directors on proxy votes it has made on behalf of the Funds at least annually. </FONT></P>

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

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